𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

✍ Scribed by Przybyłowicz, Paweł; Morkisz, Paweł

Book ID
122164931
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
454 KB
Volume
78
Category
Article
ISSN
0168-9274

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

An application of Taylor series in the a
An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay
✍ Marija Milošević; Miljana Jovanović 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 282 KB

The subject of this paper is the analytic approximation method for solving stochastic differential equations with time-dependent delay. Approximate equations are defined on equidistant partitions of the time interval, and their coefficients are Taylor approximations of the coefficients of the initia

[Stochastic Modelling and Applied Probab
[Stochastic Modelling and Applied Probability] Numerical Solution of Stochastic Differential Equations with Jumps in Finance Volume 64 || Jump-Adapted Strong Approximations
✍ Platen, Eckhard; Bruti-Liberati, Nicola 📂 Article 📅 2010 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 858 KB

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri