Theory of Probability and Mathematical Statistics
Modified Euler scheme for weak approximation of solutions of stochastic differential equations driven by Wiener process
S. V. Bodnarchuk, A. M. Kulik
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Abstract: Weak approximation scheme of solutions of stochastic differential equations driven by Wiener processes is considered.
Keywords: Stochastic differential equations, Euler scheme, weak approximation, Hermite polynomials.
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