Numerical error for SDE: Asymptotic expansion and hyperdistributions (Q1408179)
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scientific article; zbMATH DE number 1981330
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical error for SDE: Asymptotic expansion and hyperdistributions |
scientific article; zbMATH DE number 1981330 |
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Numerical error for SDE: Asymptotic expansion and hyperdistributions (English)
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15 September 2003
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The Euler method for approximating the solution of the vector stochastic differential equation \[ d\xi_w(t)= \sum^n_{k=1} A_k(\xi_w(t)) dW^k+ A_0(\xi_w(t)) dt,\quad \xi_w(t^0)= \xi_0, \] is shown to converge quasi-surely and its rate of weak convergence is found by asymptotic expansion.
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