The asymptotic error of chaos expansion approximations for stochastic differential equations
In this paper we present a numerical scheme for stochastic differential equations based upon the Wiener chaos expansion. The approximation of a square integrable stochastic differential equation is obtained by cutting off the infinite chaos expansion in chaos order and in number of basis elements. W...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2019-04-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/19-VMSTA133 |