𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Quasi-Sure Convergence Rate of Euler Scheme for Stochastic Differential Equations

✍ Scribed by HUANG, Wenliang; ZHANG, Xicheng


Book ID
123105483
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
314 KB
Volume
34
Category
Article
ISSN
0252-9602

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


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