About Gaussian schemes in stochastic approximation
نویسندگان
چکیده
منابع مشابه
APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES
We focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of It¨o type, in particular, parabolic equations. The main properties of these deterministic difference methods, i.e., convergence, consistency, and stability, are separately developed for the stochastic cases.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1994
ISSN: 0304-4149
DOI: 10.1016/0304-4149(94)90150-3