Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process (Q1985372)
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scientific article; zbMATH DE number 7187404
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| English | Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process |
scientific article; zbMATH DE number 7187404 |
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Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process (English)
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7 April 2020
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Euler-Maruyama approximation
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strong convergence
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stochastic differential equations
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maximum process
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0.8478126525878906
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0.8353578448295593
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0.8248625993728638
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0.8231143355369568
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