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scientific article; zbMATH DE number 1132859
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scientific article; zbMATH DE number 1132859 |
Statements
2 December 1998
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Stratonovich equation
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finite-difference approximation
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Brownian motion
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0.8213819265365601
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0.7871440052986145
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The Stratonovich stochastic differential equation \[ X(t)=X(0)+\int_0^t\sigma( X(s)) dB_s,\qquad t\in[0,T], \] with a driving Brownian motion \(B\) and \(\sigma\in C^2_b(R)\) is approximated by the difference equation \[ X_\delta(t+h)-X_\delta(t) =\sigma(X_\delta(t))( B_\delta(t+h)-B_\delta(t)),\qquad t\in[0,T], \] where \(B_\delta(t)=\delta^{-1}\int_0^\delta B(t+s) ds\). It is proved that \(\sup_{t\in[0,T]}E| X_\delta(t)-X(t)| ^2\to 0\), \(\delta\to 0\), provided \(h=o(\delta)\) and \(\sup_{t\in[0,h]}E| X_\delta(t)-X(0)| ^2\to 0\) as \(\delta\to 0\).
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