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7.2 Stochastic integration schemes

The mere translation of a numerical scheme valid for deterministic differential equations does not necessarily yield a proper scheme in the stochastic case. Depending on the selected deterministic scheme its unconditional translation might converge to an Itô solution, to a Stratonovich solution, or to none of them. Even if the scheme converges in the context of stochastic calculus, the order of convergence is usually lower than that of the deterministic scheme. This has to be considered, when deciding for the discretization time step.



Subsections

Werner Scholz 2000-05-16