Averaging Euler-type difference scheme

Stochastic Analysis and Applications

Volumn 15, Issue 5, 1997, Pages 751-758

  Golec, Janusz ^a  

^a FORDHAM UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031525660     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362999708809505     Document Type: Article

References (5)

1. Freidlin, M.I., Wentzell, A.D., Random Perturbations of Dynamical Systems, Springer, New York, 1984.
2. Kloeden, E.P., Platen, E., Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992.
3. Golec, J., Ladde, G.S., Averaging principle and systems of singularly perturbed stochastic differential equations, J. Math. Phys., 31 (5), May 1990, 1116-1123.
4. Golec, J., Ladde, G.S., 'On multitime method and the rate of convergence for a class of singularly perturbed stochastic systems' , Journal of Mathematical Systems, Estimation, and Control, Vol.2 (1992), No.2, 245-262.
5. Talay, D., Tubaro, L., Expansion of the global error for numerical schemes solving stochastic differential equations. Stochastic Analysis and Applications, 8(4), 1990, 94-120