Institut fiir A:r:igewandte Analysis und Stochastik im Forschungsverbund Berlin e.V. Proceedings of the 1st Workshop on Stochastic Numerics E. Platen 1• 2 (Editor) submitted: 24th November 1992 1 Australian National University 2 Institut fiir Angewandte Analysis Institute of Advanced Studies und Stochastik SRS, GPO Box 4, Canberra Hausvogteiplatz 5 - 7 A.C.T: 2601 D - 0 1086 Berlin Australia Germany Preprint No. 21 Berlin 1992 1991 Mathematics Subject Classification. 60H10. Key words and phrases. stochastic differential equations, numerical solution, statistical methods, simulation, limit theorems, financial mathematics. Herausgegeben vom Institut fiir Angewandte Analysis und Stochastik Hausvogteiplatz 5- 7 D - 0 1086 Berlin Fax: + 49 30 2004975 e-Mail (X.400): c=de;a=dbp;p=iaas-berlin;s=preprint e-Mail (Internet):
[email protected] PROCEEDINGS of the 1st Workshop on STOCHASTIC NUMERICS September 7 - 12, 1992 in Gosen (near'Berlin) organized by the Institute of Applied Analysis and Stochastics Berlin together with the Humboldt University Berlin Chairman: E. Platen (Canberra/Berlin) Scientific Program Committee: L. Arnold (Bremen), S. Artemev (Novosibirsk), P. Deuflhard (Berlin), J. Gartner (Berlin), B. Grigelionis (Vilnius), J. Jacod (Paris), P. Kloeden (Geelong), U. Kuchler (Berlin), G.N. Milstein (Ekaterinburg), T. Mitsui (Nagoya), H. Neunzert (Kaiserslautern) P. Protter (Purdue), R. Rebolledo (Santiago), D. Talay (Sophia Antipolis), Local Organizing Committee: Mrs. M. Teuchert, IAAS, Hausvogteiplatz 5-7, D-0-1086 Berlin, Fax: (030) 2004975, Tel: (030) 20377 594 Forward One aim of the pt Workshop on Stochastic Numerics was to bring together for the first time leading experts on this field from the eastern countries with those from the west.