The rate of convergence for approximate solutions of stochastic differential equations (Q914253)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The rate of convergence for approximate solutions of stochastic differential equations |
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The rate of convergence for approximate solutions of stochastic differential equations (English)
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1989
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Approximate solutions are defined for multidimensional stochastic differential equations using i.i.d. random variables with a general distribution. The rate of convergence in terms of two metrics is investigated where one metric is the Lévy-Prokhorov metric.
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Approximate solutions
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rate of convergence
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Lévy-Prokhorov metric
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