Weak approximation of a diffusion process in a bounded domain

DOI10.1080/17442509708834131zbMath0893.60032MaRDI QIDQ4368879

Grigori N. Milstein

Publication date: 10 August 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834131

zbMATH Keywords

boundary value problems; stochastic differential equations; weak approximation

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C99: Probabilistic methods, stochastic differential equations

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