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A recursive algorithm for the solution of special non-linear stochastic differential equations

 

作者: Georg Budke,   Rupert Lasser,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1998）
卷期: Volume 16, issue 1  

页码: 29-41

 

ISSN:0736-2994

 

年代: 1998

 

DOI:10.1080/07362999808809514

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Consider the stochastic differential equationwith initial conditionX(0) (B(t) the standard Brownian motion), where the functionsare analytic with the global Lipschitz constantLderive an algorithm to transform the non-linear equation into a system of linear stochastic differential equations that can be solved recursively.

 

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