Euler scheme for solutions of a countable system of stochastic differential equations
AbstractWe consider a countable system of stochastic differential equation. Euler scheme for approximating these solutions is used, and the global error is estimated. Solutions are approximated by means of a process which takes values in a finite dimensional space. Finally, we expand the global error for a class of smooth functions in powers of the discretization step size.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 54 (2001)
Issue (Month): 3 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Wu, Shujin & Han, Dong, 2007. "Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 211-219, January.
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