Approximation theorem for stochastic differential equations with interaction1
β Scribed by Pilipenko, A. Yu.
- Book ID
- 120106298
- Publisher
- Walter de Gruyter GmbH & Co. KG
- Year
- 2003
- Tongue
- English
- Weight
- 212 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0926-6364
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic R
In this paper, a stochastic mean square version of Lax's equivalence theorem for Hilbert space valued stochastic differential equations with additive and multiplicative noise is proved. Definitions for consistency, stability, and convergence in mean square of an approximation of a stochastic differe