Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

Stochastic Processes and their Applications

Volumn 76, Issue 1, 1998, Pages 33-44

  Chan, K S ^a   Stramer, O ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

60H10; 60J55; 62F17; Good integrators; Martingale differences; Threshold ARMA processes

Indexed keywords

EID: 0005386341     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00020-9     Document Type: Article

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