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Averaging Euler-type difference scheme

 

作者: Janusz Golec,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1997）
卷期: Volume 15, issue 5  

页码: 751-758

 

ISSN:0736-2994

 

年代: 1997

 

DOI:10.1080/07362999708809505

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

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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