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Averaging Euler-type difference scheme |
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| Authors: | Janusz Golec |
| Institution: | Department of Mathematics , Fordham University , Bronx, New York, 10458 |
| Abstract: | A ‘microaveraging’ Euler type difference scheme is developed for stochástic singularly perturbed systems. It is proven that the scheme converges in the mean square sense to the solution of the associated reduced problem. A discrete version of the stochastic averaging assumption is developed in order to study this convergence problem |
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