Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme. L'utilisation ~ chaque pas d'une nouvelle variable exponentielle ind6pendante des accroissements browniens perme
The Euler scheme for a class of anticipating stochastic differential equations
โ Scribed by Torres, Soledad; Tudor, Ciprian A.
- Book ID
- 120106310
- Publisher
- Walter de Gruyter GmbH & Co. KG
- Year
- 2004
- Tongue
- English
- Weight
- 164 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0926-6364
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Here we consider stochastic di erential equations whose solutions take values in a Hilbert space. The Euler Scheme for approximating these solutions is used, and the global error is estimated. In addition, solutions are approximated by means of a process which takes values in a รฟnite-dimensional sub
We consider a countable system of stochastic di erential equation. Euler scheme for approximating these solutions is used, and the global error is estimated. Solutions are approximated by means of a process which takes values in a รฟnite dimensional space. Finally, we expand the global error for a cl