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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)

Abstract

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.

Keywords

Partial Derivative Stochastic Differential Equation Independent Random Variable Mathematical Expectation Lipschitz Condition 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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