𝔖 Bobbio Scriptorium
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On a linear stochastic differential equation

✍ Scribed by S. K. Nasr


Book ID
110590770
Publisher
Springer
Year
1970
Tongue
English
Weight
305 KB
Volume
15
Category
Article
ISSN
0026-1335

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πŸ“œ SIMILAR VOLUMES


A note on convergence rate of a lineariz
✍ Isao Shoji πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 192 KB

This note discusses convergence rate of a linearization method for the discretization of stochastic differential equations with multiplicative noise. The method is to approximate the drift coefficient by the local linearization method and the diffusion coefficient by the Euler method. The mixed meth