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A Note on the Linear Reinforcement Scheme for Variable-Structure Stochastic Automata


Book ID
114669630
Publisher
Institute of Electrical and Electronics Engineers
Year
1972
Weight
569 KB
Volume
SMC-2
Category
Article
ISSN
0018-9472

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A note on convergence rate of a lineariz
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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