Title of article
Strong approximations for stochastic differential equations with boundary conditions
Author/Authors
Ferrante، نويسنده , , Marco and Kohatsu-Higa، نويسنده , , Arturo and Sanz-Solé، نويسنده , , Marta، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
15
From page
323
To page
337
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 Lp-norm.
Keywords
Stochastic differential equations with boundary conditions , 60H99 , Numerical approximations , 34B10 , 65Nxx , 34B15
Journal title
Stochastic Processes and their Applications
Serial Year
1996
Journal title
Stochastic Processes and their Applications
Record number
1575862
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