Difference methods for stochastic differential equations with discontinuous coefficients

DOI10.1080/17442508408833318zbMath0542.60057OpenAlexW2155573421MaRDI QIDQ3330242

Rainer Janßen

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833318

zbMATH Keywords

Euler methodconvergence of distributions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

Cites Work

• On Benes' bang-bang control problem
• The Optimal Control of a Stochastic System
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