Strong approximations of stochastic integro-differential equations (Q2731405)
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scientific article; zbMATH DE number 1625980
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| English | Strong approximations of stochastic integro-differential equations |
scientific article; zbMATH DE number 1625980 |
Statements
21 March 2002
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convergence
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strong approximation
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stochastic integro-differential equations
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Euler-type difference scheme
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Strong approximations of stochastic integro-differential equations (English)
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The authors consider the discrete time strong approximation of stochastic integro-differential equations. An Euler-type difference scheme is proposed. Convergence rates are obtained and simulation examples are given.
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