Order reduction for a system of stochastic differential equations with a small parameter in the coefficient of the leading derivative. Estimate for the rate of convergence |
| |
Authors: | B V Bondarev E E Kovtun |
| |
Institution: | (1) Donetsk National University, Donetsk |
| |
Abstract: | We establish an estimate for the rate of convergence of a solution of an ordinary stochastic differential equation of order
p ≥ 2 with a small parameter in the coefficient of the leading derivative to a solution of a stochastic equation of order p − 1 in the metric ρ(X, Y) = (sup0≤t≤T
M|X(t) − Y(t)|2)1/2
__________
Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 12, pp. 1587–1601, December, 2006. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|