MODIFIED EULER SCHEME FOR THE WEAK APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE WIENER PROCESS

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MODIFIED EULER SCHEME FOR THE WEAK APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE WIENER PROCESS

机译：改进的欧拉方案用于维纳过程驱动的随机微分方程的弱近似

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A method for the weak approximation of solutions of stochastic differential equations driven by the Wiener process is considered in this paper.

机译：本文考虑了由维纳工艺驱动的随机微分方程溶液弱近似的方法。

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《Theory of probability and mathematical statistics》 |2019年第99期|共13页
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正文语种 eng
中图分类概率论与数理统计;
关键词
MODIFIED EULER SCHEME; WEAK APPROXIMATION; STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN;

机译：改进的欧拉方案;弱近似;随机微分方程驱动;

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专利

1. MODIFIED EULER SCHEME FOR THE WEAK APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE WIENER PROCESS [J] . Theory of probability and mathematical statistics . 2019,第99期

机译：改进的欧拉方案用于维纳过程驱动的随机微分方程的弱近似
2. A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion [J] . E.Jum, K. Kobayashi Probability and Mathematical Statistics . 2016,第2期

机译：时变布朗运动驱动的随机微分方程的强弱近似方案
3. Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion [J] . Liu Weiguo, Luo Jiaowan Communications in Statistics . 2017,第15a16期

机译：布朗运动和分数布朗运动驱动随机微分方程的改进欧拉近似
4. Polynomial programming approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing [C] . Kenji Kashima, Reiichiro Kawai ICROS-SICE International Joint Conference . 2009

机译：应用到期权定价的征用驱动随机微分方程弱近似的多项式规划方法
5. Numerical weak approximation of stochastic differential equations driven by Lévy processes [D] . Zhang, Changyong 2010

机译：Lévy过程驱动的随机微分方程的数值弱近似
6. Convergence and stability of the exponential Euler method for semi-linear stochastic delay differential equations [O] . Ling Zhang -1

机译：半线性随机时滞微分方程指数Euler方法的收敛性和稳定性
7. Modified Euler approximation scheme for stochastic differential equations driven by fractional Brownian motions [O] . Hu, Yaozhong, Liu, Yanghui, Nualart, David 2017

机译：随机微分的改进Euler逼近格式由分数布朗运动驱动的方程
8. Approximate Integration of Wiener and Poisson Process Driven Stochastic Differential Equations [R] . Harris, C. J., Magshsoodi, Y. 1983

机译：Wiener与poisson过程驱动随机微分方程的近似积分

MODIFIED EULER SCHEME FOR THE WEAK APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE WIENER PROCESS

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