We study the Euler approximation scheme for solutions of stochastic differential equations with boundary conditions in two different examples: (a) the one-dimensional case with linear boundary condition, and (b) the multidimensional case with constant diffusion coefficient and general boundary condition. In both cases the error is measured in the L(p)-norm.
Strong approximations for stochastic differential equations with boundary conditions.
FERRANTE, MARCO;
1996
Abstract
We study the Euler approximation scheme for solutions of stochastic differential equations with boundary conditions in two different examples: (a) the one-dimensional case with linear boundary condition, and (b) the multidimensional case with constant diffusion coefficient and general boundary condition. In both cases the error is measured in the L(p)-norm.File in questo prodotto:
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