SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Contributed Talk

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Fundamental Convergence Theorems of Numerical Methods for SDEs

J. Hong and C. Chen

Abstract
In this talk we review theoretical results on the mean-square convergence of numerical methods for stochastic ordinary differential equations, stochastic delay differential equations, neutral stochastic delay differential equations, jump-diffusion differential equations, neutral stochastic delay differential equations with jump-diffusion, stochastic partial differential equations and backward stochastic differential equations. These results are called fundamental convergence theorems of numerical methods for stochastic differential equations.

Organized by         Universidad de Valladolid     IMUVA