Newton’s Method for Stochastic Differential Equations and Its Probabilistic Second-order Error Estimate
نویسنده
چکیده
Kawabata and Yamada [5] proposed an implicit Newton’s method for nonlinear stochastic differential equations and proved its convergence. Later Amano [2] gave an explicit formulation of method and showed its direct error estimate. In this article, we prove a probabilistic second-order error estimate which has been an open problem since 1991.
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تاریخ انتشار 2012