Penalization schemes for multi-valued stochastic differential equations
β 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.
π SIMILAR VOLUMES
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
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