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Mean square converg...
Mean square convergence of a semidiscrete scheme for SPDEs of Zakai type driven by square integrable martingales
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- Lang, Annika, 1980 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,University of Gothenburg,Chalmers tekniska högskola,Chalmers University of Technology
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(creator_code:org_t)
- Elsevier BV, 2010
- 2010
- Engelska.
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Ingår i: Procedia Computer Science. - : Elsevier BV. - 1877-0509. ; 1:1, s. 1615-1623
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Abstract
Ämnesord
Stäng
- 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 convergence is as known for real-valued stochastic differential equations and for less general driving noises O(√Δt) for a time discretization step size Δt. © 2010 Published by Elsevier Ltd.
Ämnesord
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Euler-Maruyama scheme
- Lévy process
- Mean square convergence
- Numerical scheme
- Stochastic partial differential equations
- Zakai equation
- Lévy process
Publikations- och innehållstyp
- ref (ämneskategori)
- kon (ämneskategori)
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