J. Golec, G. Ladde, "Euler-type approximation for systems of stochastic differential equations", International Journal of Stochastic Analysis, vol. 2, Article ID 602125, 11 pages, 1989. https://doi.org/10.1155/S1048953389000195
Euler-type approximation for systems of stochastic differential equations
By developing a stochastic version of the Taylor formula, the mean-square convergence of the Euler-type approximation for the solution of systems of Itô-type stochastic differential equations is investigated. Sufficient conditions are given to obtain time-varying and time-invariant error estimates.
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