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Euler-type approximation for systems of stochastic differential equations

J. Golec and G. Ladde

International Journal of Stochastic Analysis, 1989, vol. 2, 1-11

Abstract:

By developing a stochastic version of the Taylor formula, the mean-square convergence of the Euler-type approximation for the solution of systems of Itô-type stochastic differential equations is investigated. Sufficient conditions are given to obtain time-varying and time-invariant error estimates.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:602125

DOI: 10.1155/S1048953389000195

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