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Diffusion approximation for hyperbolic stochastic differential equations

✍ Scribed by Carme Florit; David Nualart

Book ID
108432960
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
536 KB
Volume
65
Category
Article
ISSN
0304-4149

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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