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Corrections to the diffusion approximation in stochastic differential equations

✍ Scribed by S. E. Pitovranov; V. M. Chetverikov


Book ID
112467552
Publisher
SP MAIK Nauka/Interperiodica
Year
1978
Tongue
English
Weight
575 KB
Volume
35
Category
Article
ISSN
0040-5779

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Approximation of Multiple Stochastic Int
✍ C.W. Li; X.Q. Liu πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 671 KB

As multiple stochastic integrals are not very easy to simulate, we would like to treat them as solutions of systems of stochastic differential equations and solve them successively and recursively approximated by the stochastic Taylor expansion as a Chen series in terms of a Philip Hall basis or Lyn