On some estimates in quasi sure limit theorem for SDE's (Q1275920): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Added link to MaRDI item.
links / mardi / namelinks / mardi / name
 

Revision as of 10:07, 31 January 2024

scientific article
Language Label Description Also known as
English
On some estimates in quasi sure limit theorem for SDE's
scientific article

    Statements

    On some estimates in quasi sure limit theorem for SDE's (English)
    0 references
    0 references
    14 October 1999
    0 references
    Let \[ dX(t)= \sigma\bigl(X(t)\bigr) dw(t)+ b\bigl(X(t)\bigr)dt, \quad X(0)=X_0,\tag{1} \] be a stochastic differential equation, where \(\sigma:R^d \to R^d\times R^r\) and \(b:R^d\to R^d\) are smooth functions with bounded derivatives of all orders, \(w(t)\) is the \(r\)-dimensional standard Brownian motion. The author considers the Stroock-Varadhan \(w_n(t)\) and Malliavin \(w_\varepsilon (t)\) approximation of Brownian motion. It is shown that for every \(p,r'\) \[ \sup_n\bigl\| X_n(t)- X_n(s)\bigr \|_{p,r'}< C| t-s|^p \quad \text{and} \quad\sup_{\varepsilon}\bigl\| X_\varepsilon(t)-X_\varepsilon (s) \bigr\|_{2p,r'}<C| t-s|^p, \] where \(X_n(t)\) and \(X_\varepsilon(t)\) denote the unique solutions of (1) with \(w_n\) and \(w_\varepsilon\), respectively, and \(\|\cdot\|_{p,r'}\) is the usual Sobolev norm in Malliavin calculus.
    0 references
    stochastic differential equation
    0 references
    Stroock-Varadhan approximation
    0 references
    Malliavin smooth approximation
    0 references

    Identifiers