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A nice discretization for stochastic line integrals

Stochastic Equations, Diffusions
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Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 69)

Keywords

Central Limit Theorem Stochastic Differential Equation Discretization Problem Martingale Difference Wiener Measure 
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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References

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    J.M.C. CLARK, R.J. CAMERON. The maximum rate of convergence of discrete approximations for stochastic differential equations. B. Grigelionis (Ed.) Stochastic Systems: Proc. IFIP-WG 7/1 Working Conference Vilnius 1978. Lect. Notes Contr. Inf. Sciences No. 25, Springer-Verlag, Berlin 1980, pp 162–171.Google Scholar
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Copyright information

© Springer-Verlag 1985

Authors and Affiliations

  1. 1.Department of Electrical EngineeringImperial CollegeLondonEngland

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