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On Approximation of the Backward Stochastic Differential Equation
Backward SDE approximation of the solution small noise asymptotics
2013/6/14
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends ...
Differential equation approximations for Markov chains
Differential equation Markov chains
2009/5/18
We formulate some simple conditions under which a Markov chain may be approximated by the solution to a differential equation, with quantifiable error probabilities. The role of a choice of coordinate...