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Weak solution for stochastic differential equations with terminal conditions

✍ Scribed by Lin Qingquan


Book ID
111783871
Publisher
SP Science China Press
Year
2002
Tongue
English
Weight
107 KB
Volume
45
Category
Article
ISSN
1674-7283

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Continuous weak approximation for stocha
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A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic R