SIAMSC
2011
13 years 6 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 10 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...