𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Penalization schemes for multi-valued stochastic differential equations

✍ Scribed by Jing Wu; Hua Zhang


Book ID
119373116
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
264 KB
Volume
83
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The Euler scheme for Hilbert space value
✍ RaΓΊl Fierro; Soledad Torres πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 93 KB

Here we consider stochastic di erential equations whose solutions take values in a Hilbert space. The Euler Scheme for approximating these solutions is used, and the global error is estimated. In addition, solutions are approximated by means of a process which takes values in a ΓΏnite-dimensional sub

Euler scheme for reflected stochastic di
✍ D. LΓ©pingle πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 309 KB

Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme. L'utilisation ~ chaque pas d'une nouvelle variable exponentielle ind6pendante des accroissements browniens perme