Confidence intervals of discretized Euler-Maruyama approximate solutions of SDE's

被引：8

作者：

Kanagawa, S ^{[1
]}

机构：

[1] Yamanashi Univ, Fac Liberal Arts & Educ, Dept Math, Kofu, Yamanashi 400, Japan

来源：

NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS | 1997年 / 30卷 / 07期

关键词：

stochastic differential equation; Euler-Maruyama approximate solution; discretization; confidence interval;

D O I：

10.1016/S0362-546X(97)00159-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

[No abstract available]

引用

页码：4101 / 4104

页数：4

共 23 条

[1] Confidence intervals of discretized euler-maruyama approximate solutions of SDE's
Department of Mathematics, Fac. of Liberal Arts and Education, Yamanashi University, 4-4-37, Takeda, Kofu 400, Japan
Nonlinear Analysis, Theory, Methods and Applications, 1997, 30 (07): : 4101 - 4104
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[3] Confidence intervals for the euler-maruyama approximate solutions of stochastic delay differential equations
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[4] A Confidence Interval for the Euler-Maruyama Approximate Solution of SDE with Unbounded Coefficients Dedicated to the Memory of Professor Hiroshi Tanaka
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[5] A confidence interval for the Euler-Maruyama approximate solution of SDE with unbounded coefficients: Dedicated to the memory of professor Hiroshi Tanaka
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Theoretical and Applied Mechanics Japan, 2014, 62 : 91 - 98
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[7] On the rate of convergence of Euler-Maruyama approximate solutions of stochastic differential equations with multiple delays and their confidence interval estimations
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[8] Euler-Maruyama scheme for SDE driven by Levy process with Holder drift
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[9] A EULER-MARUYAMA'S APPROXIMATE SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS UNDER HOLDER-TYPE CONDITIONS
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[10] The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
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