Strong approximations for stochastic differential equations with boundary conditions
✍ Scribed by Marco Ferrante; Arturo Kohatsu-Higa; Marta Sanz-Solé
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 507 KB
- Volume
- 61
- Category
- Article
- ISSN
- 0304-4149
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
The quasilinearization method is used for nonlinear ordinary differential equations with nonlinear boundary conditions. Given are sufficient conditions when corresponding monotone sequences converge to the unique solution and this convergence is quadratic. (~ 2004 Elsevier Ltd. All rights reserved.
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