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The maximum rate of convergence of discrete approximations for stochastic differential equations

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Book cover Stochastic Differential Systems Filtering and Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 25))

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References

  1. I.I. Gihman, A.V. Skorohod, Stochastic Differential Equations, Springer-Verlag, Berlin, 1972.

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  2. E.J. McShane, Stochastic Calculus and Stochastic Models, Academic Press, New York, 1974.

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  3. W. Wagner, E. Platen, Approximation of Ito integral equations, internal publication of Zentralinstitut für Mathematik und Mechanik der Akademie der Wissenschaffen der DDR.

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  4. R.L. Stratonovich, A new representation for stochastic integrals and equations, J. SIAM Control, 4, pp. 362–371 (1966). Originally published in Russian in Vestnik Moskov. Univ. Ser. I. Mat. Meh., 1, pp. 3–12 (1964).

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Authors and Affiliations

  1. Department of Computing and Control, Imperial College of Science and Technology, SW7 2BZ, London, UK

    J. M. C. Clark & R. J. Cameron

Authors
  1. J. M. C. Clark
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  2. R. J. Cameron
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Bronius Grigelionis

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© 1980 Springer-Verlag

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Clark, J.M.C., Cameron, R.J. (1980). The maximum rate of convergence of discrete approximations for stochastic differential equations. In: Grigelionis, B. (eds) Stochastic Differential Systems Filtering and Control. Lecture Notes in Control and Information Sciences, vol 25. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004007

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  • DOI: https://doi.org/10.1007/BFb0004007

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10498-8

  • Online ISBN: 978-3-540-38503-5

  • eBook Packages: Springer Book Archive

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