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scientific article; zbMATH DE number 1132858
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scientific article; zbMATH DE number 1132858 |
Statements
1 June 1998
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approximation of stochastic equations
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Poisson process
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0.9447619
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0.93420637
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0.91872144
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The stochastic equation \[ X(t)=X(0)+\int_0^tf( X(s-0)) d\Pi(s) \] with a driving Poisson process \(\Pi\) is approximated by the equations \[ X_n(t+h_n)-X_n(t) =f(X_n(t))( \Pi_n(t+h_n)-\Pi_n(t)),\qquad t\in[0,T], \] where \(\{\Pi_n\}\) is a convolution-type approximation of \(\Pi\) and \(h_n\to 0\). The approximation in \(L^1[0,T]\) of the stochastic integral \(\int_0^t[g(\Pi(s-0)+1)-g(\Pi(s-0))] d\Pi(s)\) by the sums \(\sum_{k=1}^m g'( \Pi_n( (k-1)t/m)) [\Pi_n(kt/m)-\Pi_n((k-1)t/m)]\) is also considered.
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