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2020•Theory of Probability and Mathematical StatisticsRequires access

Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process

S. V. Bodnarchuk, O. M. Kulyk

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Abstract

A method for the weak approximation of solutions of stochastic differential equations driven by the Wiener process is considered in this paper.

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What this paper is about

A method for the weak approximation of solutions of stochastic differential equations driven by the Wiener process is considered in this paper.

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Available abstract

A method for the weak approximation of solutions of stochastic differential equations driven by the Wiener process is considered in this paper.

Key concepts: Mathematics, Wiener process, Stochastic differential equation, Applied mathematics, Scheme (mathematics), Euler method, Euler's formula, Stochastic partial differential equation

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