Weak approximation of solutions of systems of stochastic differential equations

  • G. N. Milstein
Part of the Mathematics and Its Applications book series (MAIA, volume 313)


As already mentioned in the Introduction, in cases when the modeling of solutions is intended for the application of Monte-Carlo methods we can refrain from mean-square approximations and use approximations that are in may respect simpler: weak approximations of solutions.


Partial Derivative Stochastic Differential Equation Independent Random Variable Mathematical Expectation Lipschitz Condition 
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Copyright information

© Springer Science+Business Media Dordrecht 1995

Authors and Affiliations

  • G. N. Milstein
    • 1
  1. 1.Department of MathematicsUral State UniversityEkatarinburgRussia

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