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Averaging Euler-type difference scheme 

Author: Janusz Golec a
Affiliation:   a Department of Mathematics, Fordham University, Bronx, New York
DOI: 10.1080/07362999708809505
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 15, Issue 5 1997 , pages 751 - 758
Formats available: PDF (English)
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Abstract

A 'microaveraging' Euler type difference scheme is developed for stochaacutestic singularly perturbed systems. It is proven that the scheme converges in the mean square sense to the solution of the associated reduced problem. A discrete version of the stochastic averaging assumption is developed in order to study this convergence problem
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