A Confidence Interval for the Euler-Maruyama Approximate Solution of SDE with Unbounded Coefficients Dedicated to the Memory of Professor Hiroshi Tanaka

被引：0

作者：

Kanagawa, Shuya ^{[1
]}

Hasegawa, Satoshi ^{[2
]}

机构：

[1] Tokyo City Univ, Dept Math, Tokyo, Japan

[2] Tokyo City Univ, Grad Sch Syst Informat Engn, Tokyo, Japan

来源：

THEORETICAL AND APPLIED MECHANICS JAPAN | 2014年 / 62卷

关键词：

Stochastic differential equation (SDE); Euler-Maruyama approximation; confidence interval; mean square error;

D O I：

暂无

中图分类号：

O3 [力学];

学科分类号：

08 ; 0801 ;

摘要：

In this paper we investigate the Euler-Maruyama approximate solution for SDE with unbounded coefficients and estimate the mean square error. From the result we obtain a confidence interval of tc SDE.

引用

页码：91 / 98

页数：8