Title of article
An analytic approximation of solutions of stochastic differential equations
Author/Authors
S. Jankovi ، نويسنده , , D. Ili ، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2004
Pages
10
From page
903
To page
912
Abstract
This paper is devoted to the construction of an approximate solution of the stochastic differential equation of the Ito type, defined on a partition of the time-interval. The coefficients of the equation by their Taylor series up to arbitrary derivatives are approximated. The closeness of the original and approximate solutions is measured in the sense of the LP-norm and with probability one.
Keywords
Stochastic differential equation , Taylor approximation , Approximate solution , Convergence with probability one , LP-convergence
Journal title
Computers and Mathematics with Applications
Serial Year
2004
Journal title
Computers and Mathematics with Applications
Record number
919965
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