On the convergence of the Lie-Trotter formula for stochastic differential equations

DOI10.5802/ambp.9zbMath0854.60054OpenAlexW2322967611MaRDI QIDQ1895927

Youssef Ouknine, Mohamed Erraoui

Publication date: 5 January 1997

Published in: Annales Mathématiques Blaise Pascal (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AMBP_1994__1_2_7_0

zbMATH Keywords

stochastic differential equationsapproximationLie-Trotter formulaconvergence of approximate solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Approximation of some stochastic differential equations by the splitting up method
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