Euler scheme for solutions of a countable system of stochastic differential equations

Jaime San Martín and Soledad Torres

Statistics & Probability Letters, 2001, vol. 54, issue 3, 251-259

Abstract: We consider a countable system of stochastic differential 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 finite dimensional space. Finally, we expand the global error for a class of smooth functions in powers of the discretization step size.

Date: 2001
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