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The Euler-Jacobi equation in variational calculus

✍ Scribed by A. V. Dmitruk


Publisher
SP MAIK Nauka/Interperiodica
Year
1976
Tongue
English
Weight
490 KB
Volume
20
Category
Article
ISSN
0001-4346

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The Euler scheme for stochastic differen
✍ Vlad Bally; Denis Talay πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 304 KB

We study the approximation problem of Ef(Xr) by Ef(X~.), where (Xt) is the solution of a stochastic differential equation, (X~) is defined by the Euler discretization scheme with step T/n, and f is a given function. For smooth f's, Talay and Tubaro had shown that the error Ef(Xr) -Ef(X~) can be expa