Euler‐type approximation for systems of stochastic differential equations
Open Access
- 1 January 1989
- journal article
- research article
- Published by Wiley in International Journal of Stochastic Analysis
- Vol. 2 (4) , 239-249
- https://doi.org/10.1155/s1048953389000195
Abstract
By developing a stochastic version of the Taylor formula, the mean‐square convergence of the Euler‐type approximation for the solution of systems of Itô‐type stochastic differential equations is investigated. Sufficient conditions are given to obtain time‐varying and time‐invariant error estimates.Keywords
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