کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4641995 | 1341325 | 2008 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Continuous weak approximation for stochastic differential equations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Continuous weak approximation for stochastic differential equations Continuous weak approximation for stochastic differential equations](/preview/png/4641995.png)
چکیده انگلیسی
A convergence theorem for the continuous weak approximation of the solution of stochastic differential equations (SDEs) by general one-step methods is proved, which is an extension of a theorem due to Milstein. As an application, uniform second order conditions for a class of continuous stochastic Runge–Kutta methods containing the continuous extension of the second order stochastic Runge–Kutta scheme due to Platen are derived. Further, some coefficients for optimal continuous schemes applicable to Itô SDEs with respect to a multi–dimensional Wiener process are presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 214, Issue 1, 15 April 2008, Pages 259–273
Journal: Journal of Computational and Applied Mathematics - Volume 214, Issue 1, 15 April 2008, Pages 259–273
نویسندگان
Kristian Debrabant, Andreas Rößler,