Approximating Irregular SDEs via Iterative Skorokhod Embeddings

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：epaiai009

【摘要】

：

　　We provide a new method for approximating the law of a diffusion M solving a stochastic differential equation with possibly irregular coeffcients.

【作者】

：

Ankirchner Stefan

【机构】

：

Univ.of Jena

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We provide a new method for approximating the law of a diffusion M solving a stochastic differential equation with possibly irregular coeffcients.

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Approximating Irregular SDEs via Iterative Skorokhod Embeddings

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