On weak approximations of (a, b)-invariant diffusions

Mathematics and Computers in Simulation

Volumn 74, Issue 1, 2007, Pages 20-28

  Mackevičius, Vigirdas ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Euler and Milstein approximations; Split step schemes; Stochastic differential equation; Weak approximation

Indexed keywords

BROWNIAN MOVEMENT; DIFFERENTIAL EQUATIONS; INTEGRATION; RANDOM PROCESSES;

EULER AND MILSTEIN APPROXIMATIONS; SPLIT-STEP SCHEMES; STOCHASTIC DIFFERENTIAL EQUATION; WEAK APPROXIMATION;

APPROXIMATION THEORY;

EID: 33846428474     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2006.06.028     Document Type: Article

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