Euler scheme for solutions of a countable system of stochastic differential equations

We consider a countable system of stochastic differential equation. Euler scheme for approximating these solutions is used, and the global error is estimated. Solutions are approximated by means of a process which takes values in a finite dimensional space. Finally, we expand the global error for a class of smooth functions in powers of the discretization step size.

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Year of publication:	2001
Authors:	San Martín, Jaime ; Torres, Soledad
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 3, p. 251-259
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254098