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Approximation of some stochastic differential equations by the splitting up method

✍ Scribed by A. Bensoussan; R. Glowinski; A. Raşcanu


Publisher
Springer
Year
1992
Tongue
English
Weight
927 KB
Volume
25
Category
Article
ISSN
0095-4616

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An efficient approximation method for st
✍ Fabienne Castell; Jessica Gaines 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 339 KB

We describe a method of approximation of strong solutions to Stratonovich differential equations, that depends only on the Brownian motion defining the equation, h being the step size, it is known that the order of convergence of such approximations is v~ in the general case, and of h in some partic