Euler scheme for solutions of a countable system of stochastic differential equations
We 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.
Volume (Year): 54 (2001)
Issue (Month): 3 (October)
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