Euler scheme for a stochastic Goursat problem

被引:1
作者
Huang, YK [1 ]
Tsai, CY [1 ]
机构
[1] Natl Cheng Kung Univ, Dept Math, Tainan 70101, Taiwan
关键词
Euler scheme;
D O I
10.1081/SAP-120028590
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We show the Euler approximation for the solution of a stochastic Goursat problem converges in the mean-square to its solution and obtain the rate of convergence for the Euler scheme.
引用
收藏
页码:275 / 287
页数:13
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