The error estimate in discretization of stochastic differential equations

DOI
  • Kanagawa Shuya
    Department of Industrial & Management Systems Engineering,Tokyo City University

Bibliographic Information

Other Title
  • 確率微分方程式の離散化とその誤差評価について

Description

In this paper we construct a discretized approximate solution of a stochastic differential equation by the Milstein method and investigate the error estimate in the approximation.

Journal

Keywords

Details 詳細情報について

  • CRID
    1390001205591798400
  • NII Article ID
    130004605149
  • DOI
    10.11345/japannctam.62.0.72.0
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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