Numerical approximation of stochastic differential equations
by Tianyu Zhang
THESIS
2000
M.Phil. Mathematics
vi, 61 leaves : ill. ; 30 cm
Abstract
The present work is concerned with the numerical approximation of stochastic differential equations. Comparing with the piecewise constant approximation of standard Wiener process noise,we define an abstract formulation of the infinite dimensional noise. Finite element method is applied to the differential equations with such defined noise,and some convergence result is obtained.
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