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Successive approximations to solutions of stochastic differential equations

✍ Scribed by Takeshi Taniguchi


Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
792 KB
Volume
96
Category
Article
ISSN
0022-0396

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Adaptive weak approximation of stochasti
✍ 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