Author(s)

Mohammad Rahman

Department of Mathematics & Statistics, University of North Florida, Jacksonville, FL-32224, USA.

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.

Variance, Markov Process, Parametric Noise, Differential Equation, Approximations

Rahman, M. (2022) Approximation of an Integral Markov Process Arising in the Approximation of Stochastic Differential Equation. Advances in Pure Mathematics, 12, 29-47. doi: 10.4236/apm.2022.121003.