𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The law of the Euler scheme for stochastic differential equations

✍ Scribed by V. Bally; D. Talay


Publisher
Springer
Year
1996
Tongue
English
Weight
789 KB
Volume
104
Category
Article
ISSN
1432-2064

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Euler scheme for reflected stochastic di
✍ D. LΓ©pingle πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 309 KB

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 Hilbert space value
✍ RaΓΊl Fierro; Soledad Torres πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 93 KB

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 ΓΏnite-dimensional sub

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

Euler scheme for solutions of a countabl
✍ Jaime San Martı́n; Soledad Torres πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 111 KB

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 ΓΏnite dimensional space. Finally, we expand the global error for a cl

Convergence of the Euler–Maruyama method
✍ Chenggui Yuan; Xuerong Mao πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 133 KB

Stochastic differential equations with Markovian switching (SDEwMSs), one of the important classes of hybrid systems, have been used to model many physical systems that are subject to frequent unpredictable structural changes. The research in this area has been both theoretical and applied. Most of