Approximate martingale estimating functions for stochastic differential equations with small noises
نویسندگان
چکیده
منابع مشابه
Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises
A new approach to the construction of mean-square numerical methods for the solution of stochastic differential equations with small noises is proposed. The approach is based on expanding the exact solution of the system with small noises in powers of time increment and small parameter. The theorem on the mean-square estimate of method errors is proved. Various efficient numerical schemes are d...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2008
ISSN: 0304-4149
DOI: 10.1016/j.spa.2007.10.008