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An efficient approximation scheme for a class of stochastic differential equations. (English) Zbl 0507.93072
Advances in filtering and optimal stochastic control, Proc. IFIP-WG 7/1 Work. Conf., Cocoyoc/Mex. 1982, Lect. Notes Contr. Inf. Sci. 42, 69-78 (1982).

MSC:
93E25 Computational methods in stochastic control (MSC2010)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99 Probabilistic methods, stochastic differential equations
60F05 Central limit and other weak theorems
60J65 Brownian motion
62E20 Asymptotic distribution theory in statistics
93E11 Filtering in stochastic control theory