Convergence in probability for perturbed stochastic integral equations (Q1112454): Difference between revisions
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Revision as of 02:04, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence in probability for perturbed stochastic integral equations |
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Convergence in probability for perturbed stochastic integral equations (English)
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1989
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One considers two stochastic integral equations indexed by some parameter \(\epsilon\) and studies the contiguity of their solutions when the parameter converges to some \(\epsilon_ 0\). Two types of behaviour are described; they lead to the notion of regular and singular perturbations. The method which is used also allows a study of the rate of convergence. Applications to time discretization of equations are given.
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stochastic integral equations
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contiguity
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regular and singular perturbations
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rate of convergence
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