Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/5100

Numerical approximation of stochastic differential equations

Authors Zhang, Tianyu
Issue Date 2000
Summary 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.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2000
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Language English
Format Thesis
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