TITLE:
Approximation of an Integral Markov Process Arising in the Approximation of Stochastic Differential Equation
AUTHORS:
Mohammad Rahman
KEYWORDS:
Variance, Markov Process, Parametric Noise, Differential Equation, Approximations
JOURNAL NAME:
Advances in Pure Mathematics,
Vol.12 No.1,
January
26,
2022
ABSTRACT: We provide the derivation of a new formula for the approximation of an integral Markov process arising in the approximation of stochastic differential equations. This formula extends an existing formula derived in [1]. We have shown numerically that the leading order approximation of the differential equation with noise by solving an associated averaged problem and estimating the difference between them and the result is illustrated through some examples.