2004•Stochastics and stochastics reportsRequires access
On the approximation of the solutions of stochastic equations with θ-integrals
Nikolay Viktorovich Lazakovich, Aleh L. Yablonski
Open publisher page 7 citations
Abstract
The paper investigates the problem of approximation of stochastic θ-integrals and the solutions of stochastic differential equations. The complete classification of the methods of approximation of stochastic θ-integrals in the convolution algebra is proposed. It is proved that the solutions of stochastic integral equations with θ-integral can be approximated by the solutions of finite-difference equations with averaging.