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A note on Newton's method for system of stochastic differential equations

✍ Scribed by Habibi, Reza


Book ID
120945088
Publisher
Walter de Gruyter GmbH & Co. KG
Year
2012
Tongue
English
Weight
215 KB
Volume
18
Category
Article
ISSN
0929-9629

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A note on convergence rate of a lineariz
✍ Isao Shoji πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 192 KB

This note discusses convergence rate of a linearization method for the discretization of stochastic differential equations with multiplicative noise. The method is to approximate the drift coefficient by the local linearization method and the diffusion coefficient by the Euler method. The mixed meth