An analytic approximation of solutions of stochastic differential equations
This paper is devoted to the construction of an approximate solution of the stochastic differential equation of the Ito type, defined on a partition of the time-interval. The coefficients of the equation by their Taylor series up to arbitrary derivatives are approximated. The closeness of the original and approximate solutions is measured in the sense of the LP-norm and with probability one. (C) 2004 Elsevier Ltd. All rights reserved.
stochastic differential equation approximate solution taylor approximation l-p-convergence convergence with probability one