Abstract

This paper is a brief introduction to the numerical approximation of weak and strong solutions of stochastic differential equations. These have application in many fields including signal processing, stochastic control, financial mathematics and theoretical physics. In particular, weak solutions can be used as the basis of Monte Carlo methods for certain partial differential equations. Weak and strong solutions are different concepts and require different approximation techniques based on different convergence criteria.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.