Discretization and simulation of stochastic differential equations

Author:

Pardoux E.,Talay D.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference27 articles.

1. ArnoldL.:Stochastic Differential Equations, Wiley, New-York, 1974.

2. Ben Arous, G: ?Repr�sentation explicite de la solution de certaines �quations diff�rentielles stochastiques?, Th�se de 3� cycle, Univ. Paris 7, 1981.

3. ClarkJ. M. C.: ?The Design of Robust Approximation to the Stochastic Differential Equation of Nonlinear Filtering?, inCommunication Systems and Random Process Theory, J.Skwirzynskii (ed.), Sijthoff & Noordhoff, Alphen aan den Rijn, 1980.

4. Lecture Notes in Control and Information Sciences;J. M. C. Clark,1982

5. Lecture Notes in Control and Information Sciences;J. M. C. Clark,1980

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