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Approximation of itô integral equations

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Stochastic Differential Systems Filtering and Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 25))

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References

  1. Gichman, I.I.; Skorochod, A.W.: Introduction to the theory of stochastic processes, Moscow (1977) (in Russian)

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  2. Kushner, H.J.: On the weak convergence of interpolated Markov chains to a diffusion. Ann. Probability 2, (1974), 40–50

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  3. Mil'štein, G.N.: Approximate integration of stochastic differential equations, Torija verjatn. primen. XIX, (1974), 3, 583–588

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  4. Platen, E.: Weak convergence of approximations of Itô integral equations. Preprint ZIMM, AdW der DDR, Berlin (1978)

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  5. Rao, N.J.; Borwankar, J.D.; Ramakrishna, D.: Numerical solution of Itô integral equations. SIAM J. Control, 12, 1, (1974), 124–139.

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  6. Wagner, W.; Platen, E.: Approximation of Itô integral equations. Preprint ZIMM, AdW der DDR, Berlin (1978).

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Bronius Grigelionis

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© 1980 Springer-Verlag

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Platen, E. (1980). Approximation of itô integral equations. In: Grigelionis, B. (eds) Stochastic Differential Systems Filtering and Control. Lecture Notes in Control and Information Sciences, vol 25. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004008

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  • DOI: https://doi.org/10.1007/BFb0004008

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10498-8

  • Online ISBN: 978-3-540-38503-5

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