SIAMSC
2011
12 years 11 months ago
2011
In this paper we describe a general framework for deriving modified equations for stochastic differential equations with respect to weak convergence. Modified equations are deri...
PROCEDIA
2010
13 years 3 months ago
2010
In this short note, a direct proof of L2 convergence of an Euler–Maruyama approximation of a Zakai equation driven by a square integrable martingale is shown. The order of conve...