Approximation of continuous time stochastic processes by a local linearization method

Mathematics of Computation

Volumn 67, Issue 221, 1998, Pages 287-298

  Shoji, Isao ^a  

^a UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

Discretization; Numerical approximation; Rate of convergence; Stochastic differential equations

Indexed keywords

EID: 0032341232     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/S0025-5718-98-00888-6     Document Type: Article

References (11)

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