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Closure approximation error in the mean solution of stochastic differential equations by the hierarchy method

✍ Scribed by G. Adomian; K. Malakian


Publisher
Springer
Year
1979
Tongue
English
Weight
324 KB
Volume
21
Category
Article
ISSN
0022-4715

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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