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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2/602125.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2/602125.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

DOI: 10.1155/S1048953389000195

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().