Donsker's delta functions and approximation of heat kernels by the time discretization methods (Q675800): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
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| English | Donsker's delta functions and approximation of heat kernels by the time discretization methods |
scientific article |
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Donsker's delta functions and approximation of heat kernels by the time discretization methods (English)
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4 March 1998
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The paper considers discrete time approximations for solutions of stochastic differential equations. It derives a general approximation result for Donsker's delta functions which represent a class of generalized Wiener functionals on the Wiener space. The Itô-Taylor approximation scheme of a given order of strong convergence is shown to converge in every Sobolev norm in the Malliavin calculus.
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stochastic differential equations
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discrete time approximation
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