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Order reduction for a system of stochastic differential equations with a small parameter in the coefficient of the leading derivative. Estimate for the rate of convergence

โœ Scribed by B. V. Bondarev; E. E. Kovtun


Publisher
Springer
Year
2006
Tongue
English
Weight
207 KB
Volume
58
Category
Article
ISSN
0041-5995

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A note on convergence rate of a lineariz
โœ Isao Shoji ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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