Janssen, R. - In: Stochastic Processes and their Applications 18 (1984) 2, pp. 361-369
The solution of the stochastic differential equation dx(t) = a(t, x(t)) dt + b(t, x(t)) dw(t), , can be approximated by the Euler-method xn+1 = xn + a(tn,xn) °t + b (tn,xn) °w(tn), if the coefficients are uniformly Lipschitz-continuous. In numerical computations an additional approximation...