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研究生: 蔡哲淵
Tsai, Che-yuan
論文名稱: 兩個參數隨機微分方程的數值方法
Numerical methods for two-parameter stochastic differential equations
指導教授: 黃炎坤
Huang, Yenkun
學位類別: 博士
Doctor
系所名稱: 理學院 - 數學系應用數學碩博士班
Department of Mathematics
論文出版年: 2004
畢業學年度: 92
語文別: 英文
論文頁數: 16
中文關鍵詞: 隨機微分方程
外文關鍵詞: Euler scheme, two-parameter stochastic differential equations, Numerical methods
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      We show the Euler approximation for the solution of a two-parameter stochastic differential equation converges in the mean-square to its solution and obtain the rateof convergence for the Euler scheme.

    1 Introduction and preliminaries 2 2 Gronwall inequality for two-parameter 5 3 Euler scheme 8 4 The rate of convergence 14

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