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A stochastic scheme of approximation for ordinary differential equations


 
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1. Title Title of document A stochastic scheme of approximation for ordinary differential equations
 
2. Creator Author's name, affiliation, country Raul Fierro; Universidad Catolica de Valparaiso
 
2. Creator Author's name, affiliation, country Soledad Torres; Universidad de Valparaiso
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Numerical Scheme ; Convergence in law ; Central limit theorem
 
3. Subject Subject classification 60H10
 
4. Description Abstract In this note we provide a stochastic method for approximating solutions of ordinary differential equations. To this end, a stochastic variant of the Euler scheme is given by means of Markov chains. For an ordinary differential equation, these approximations are shown to satisfy a Large Number Law, and a Central Limit Theorem for the corresponding fluctuations about the solution of the differential equation is proven.
 
5. Publisher Organizing agency, location
 
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7. Date (YYYY-MM-DD) 2007-11-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1341
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1341
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
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