A note on approximation for stochastic differential equations
Hiroshi Kaneko; Shintaro Nakao
Séminaire de probabilités de Strasbourg (1988)
- Volume: 22, page 155-162
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topKaneko, Hiroshi, and Nakao, Shintaro. "A note on approximation for stochastic differential equations." Séminaire de probabilités de Strasbourg 22 (1988): 155-162. <http://eudml.org/doc/113627>.
@article{Kaneko1988,
author = {Kaneko, Hiroshi, Nakao, Shintaro},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {pathwise unique solution; sequence of stochastic differential equations},
language = {fre},
pages = {155-162},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A note on approximation for stochastic differential equations},
url = {http://eudml.org/doc/113627},
volume = {22},
year = {1988},
}
TY - JOUR
AU - Kaneko, Hiroshi
AU - Nakao, Shintaro
TI - A note on approximation for stochastic differential equations
JO - Séminaire de probabilités de Strasbourg
PY - 1988
PB - Springer - Lecture Notes in Mathematics
VL - 22
SP - 155
EP - 162
LA - fre
KW - pathwise unique solution; sequence of stochastic differential equations
UR - http://eudml.org/doc/113627
ER -
References
top- [1] N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland and Kodansha, Tokyo, 1981. Zbl0495.60005MR637061
- [2] S. Kawabata and T. Yamada, On some limit theorems for solutions of stochastic differential equations, Séminaire de Probabilités XVI, Lecture Notes in Math., 920, Springer Verlag, Berlin, 1980/81. Zbl0484.60052MR658704
- [3] N.V. Krylov, Controlled Diffusion Processes, Springer Verlag, Berlin, 1980. Zbl0459.93002MR601776
- [4] J.F. Le Gall, Application du temps local aux équations differentielles stochastiques unidimensionnelles, Séminaire de Probabilités XVII, Lecture Notes in Math., 986, Springer Verlag, Berlin, 1981/82. Zbl0527.60062MR770393
- [5] P.L. Lions and A.S. Sznitman, Stochastic differential equation with reflecting boundary conditions, Comm. Pure Appl. Math., 37(1984), 511-537. Zbl0598.60060MR745330
- [6] R.S. Liptser and A.N. Shiryayev, Statistics of Random Processes1, Springer Verlag, Berlin, 1977. Zbl0364.60004MR474486
- [7] A.V. Skorohod, Studies in the Theory of Random Processes, Addison-Wesley, Washington, 1965. Zbl0146.37701MR185620
- [8] H. Tanaka, Stochastic differential equations with reflecting boundary conditions in convex regions, Hiroshima Math. J., 9(1979), 163-177. Zbl0423.60055MR529332
- [9] T. Yamada, Sur une construction des solutions d'équations différentielles stochastiques des les cas non-Lipschitzien, Séminaire de Probabilités XII, Lecture Notes in Math., 649, 1976/77. Zbl0382.60062MR520000
Citations in EuDML Documents
top- M. Erraoui, Y. Ouknine, Sur la convergence de la formule de Lie-Trotter pour les équations differentielles stochastiques
- Jean-Jacques Alibert, Khaled Bahlali, Genericity in deterministic and stochastic differential equations
- Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine, Pathwise uniqueness and approximation of solutions of stochastic differential equations
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