The maximum rate of convergence of discrete approximations for stochastic differential equations-Reference-Cited by-同舟云学术

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

Published: Issue: Volume: Page:162-171
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Container-title:Lecture Notes in Control and Information Sciences
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Author:

Clark J. M. C.,Cameron R. J.

Publisher

Springer-Verlag

Link

http://link.springer.com/content/pdf/10.1007/BFb0004007.pdf

Reference4 articles.

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

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

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

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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