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Strong representation of an adaptive stochastic approximation procedure

✍ Scribed by R. Schwabe

Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
827 KB
Volume
23
Category
Article
ISSN
0304-4149

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πŸ“œ SIMILAR VOLUMES

Adaptive weak approximation of stochasti
Adaptive weak approximation of stochastic differential equations
✍ Anders Szepessy; RaΓΊl Tempone; Georgios E. Zouraris πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 320 KB

## Abstract Adaptive time‐stepping methods based on the Monte Carlo Euler method for weak approximation of ItΓ΄ stochastic differential equations are developed. The main result is new expansions of the computational error, with computable leading‐order term in a posteriori form, based on stochastic