Newton's method for stochastic differential equations and its probabilistic second-order error estimate
Kawabata and Yamada [5] proposed an implicit Newton's method for nonlinear stochastic differential equations and proved its convergence. Later Amano [2] gave an explicit formulation of method and showed its direct error estimate. In this article, we prove a probabilistic second-order error...
Main Author: | |
---|---|
Format: | Article |
Language: | English |
Published: |
Texas State University
2012-01-01
|
Series: | Electronic Journal of Differential Equations |
Subjects: | |
Online Access: | http://ejde.math.txstate.edu/Volumes/2012/03/abstr.html |