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A note on the stabilizability of stochastic heat equations with multiplicative noise

✍ Scribed by Viorel Barbu; Catalin Lefter; Gianmario Tessitore


Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
72 KB
Volume
334
Category
Article
ISSN
1631-073X

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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