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SIAMSC
2011
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13 years 6 months ago
On the Existence and the Applications of Modified Equations for Stochastic Differential Equations
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...
K. C. Zygalakis
PROCEDIA
2010
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13 years 9 months ago
Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
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...
Annika Lang