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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/5100
Title: Numerical approximation of stochastic differential equations
Authors: Zhang, Tianyu
Issue Date: 2000
Abstract: The present work is concerned with the numerical approximation of stochastic differential equations. Comparing with the piecewise constant approximation of standard Wiener process noise,we define an abstract formulation of the infinite dimensional noise. Finite element method is applied to the differential equations with such defined noise,and some convergence result is obtained.
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2000
vi, 61 leaves : ill. ; 30 cm
HKUST Call Number: Thesis MATH 2000 Zhang
URI: http://hdl.handle.net/1783.1/5100
Appears in Collections:MATH Master Theses

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