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Strong and weak order of time discretization schemes of stochastic differential equations

  • Yaozhong Hu
Chapter
Part of the Lecture Notes in Mathematics book series (LNM, volume 1626)

Keywords

Stochastic Differential Equation Polynomial Growth Weak Order Strong Order Independent Brownian Motion 
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References

  1. [Be] G. Ben Arous, Flots et séries de Taylor stochastiques, Prob. Th. Rel. Fields, 81 (1989), 29–77.MathSciNetCrossRefGoogle Scholar
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  3. [HW] Y.Z. Hu and S. Watanabe, Donsker’s delta functions and approximation of heat kernels by time discretization method, preprint, 1995.Google Scholar
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  6. [Øk] B. Øksendal, Stochastic Differential Equations, Springer, 1985.Google Scholar

Copyright information

© Springer-Verlag 1996

Authors and Affiliations

  • Yaozhong Hu

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