Weak convergence of a numerical scheme for stochastic differential equations

• Autorzy: Aguilera E. , Fierro R.

Identyfikatory

DOI

10.19195/0208-4147.37.1.9

• Języki publikacji: EN

Abstrakty

EN

In this paper a numerical scheme approximating the solution to a stochastic differential equation is presented. On bounded subsets of time, this scheme has a finite state space, which allows us to decrease the round-off error when the algorithm is implemented. At the same time, the scheme introduced turns out locally consistent for any step size of time. Weak convergence of the scheme to the solution of the stochastic differentia equation is shown.

Słowa kluczowe

EN

numerical methods; round-off error; stochastic differential equations; weak convergence

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2017
• Tom: Vol. 37, Fasc. 1
• Strony: 201--215
• Opis fizyczny: Bibliogr. 22 poz.

Twórcy

autor

Aguilera E.

• Facultad de Ciencias de la Ingeniería, Universidad Austral de Chile, Valdivia, Chile

autor

Fierro R.

• Instituto de Matemáticas, Universidad de Valparaíso, Villa Alemana, Chile

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).