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An efficient approximation scheme for a class of stochastic differential equations

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Advances in Filtering and Optimal Stochastic Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 42))

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References

  1. J.M.C. Clark, R.J. Cameron. The maximum rate of convergence of discrete approximations for stochastic differential equations. B. Grigelionis (Ed.) Stochastic Differential Systems, Proc. IFIP-WG 7/1 Working Conference Vilnius 1978, Springer-Verlag Berlin 1980, pp. 162–171

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Authors and Affiliations

  1. Department of Electrical Engineering, Imperial College, 7 2BT, London SW, U.K.

    J. M. C. Clark

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  1. J. M. C. Clark
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Wendell H. Fleming Luis G. Gorostiza

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© 1982 Springer-Verlag

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Clark, J.M.C. (1982). An efficient approximation scheme for a class of stochastic differential equations. In: Fleming, W.H., Gorostiza, L.G. (eds) Advances in Filtering and Optimal Stochastic Control. Lecture Notes in Control and Information Sciences, vol 42. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004526

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  • DOI: https://doi.org/10.1007/BFb0004526

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11936-4

  • Online ISBN: 978-3-540-39517-1

  • eBook Packages: Springer Book Archive

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