๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A note on order of convergence of numerical method for neutral stochastic functional differential equations

โœ Scribed by Feng Jiang; Yi Shen; Fuke Wu

Book ID
113547048
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
219 KB
Volume
17
Category
Article
ISSN
1007-5704

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

A note on convergence rate of a lineariz
A note on convergence rate of a linearization method for the discretization of stochastic differential equations
โœ Isao Shoji ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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