A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic R
✦ LIBER ✦
Second-order weak approximations for stratonovich stochastic differential equations
✍ Scribed by V. Mackevičius
- Publisher
- Springer
- Year
- 1994
- Tongue
- English
- Weight
- 861 KB
- Volume
- 34
- Category
- Article
- ISSN
- 0363-1672
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