Euler-Type approximation for systems of stochastic differential equations

Euler-Type approximation for systems of stochastic differential equations

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Article ID: iaor1990597
Country: United States
Volume: 2
Start Page Number: 1
End Page Number: 7
Publication Date: May 1989
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Abstract:

By developing a stochastic version of the Taylor formula, the mean-square convergence of the Euler-type approximation for the solution of systems of Ito-type stochastic differential equations is áEuler-type approximation for the solution of systems of It

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