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 Electronic Communications in Probability > Vol. 13 (2008) > Paper 1 open journal systems 


A stochastic scheme of approximation for ordinary differential equations

Raul Fierro, Universidad Catolica de Valparaiso
Soledad Torres, Universidad de Valparaiso


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.


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Pages: 1-9

Published on: January 2, 2008
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Electronic Communications in Probability. ISSN: 1083-589X