๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A stochastic method of linearization

โœ Scribed by A. M. Gupal; L. G. Bazhenov

Publisher
Springer US
Year
1974
Tongue
English
Weight
159 KB
Volume
8
Category
Article
ISSN
1573-8337

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