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scientific article; zbMATH DE number 1457425
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scientific article; zbMATH DE number 1457425 |
Statements
12 June 2000
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functional stochastic differential equations
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uniform \(L^p\)-approximation
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functional Lipschitz operator
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semimartingale
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Euler-Maruyama method
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0.7814571261405945
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0.7756696343421936
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0.7751652002334595
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Let \(\{Z_t,\mathcal F_t\}\) be a one-dimensional continuous semimartingale on a filtered, complete probability space \((\Omega,\mathcal F,\mathcal F_t,\text{P})\) satisfying the usual hypotheses. For an \(\mathcal F_0\)-measurable random variable \(\xi,\) consider the following functional SDE driven by \(\{Z_t\}\): \[ X_t=\xi+\int_0^tF(X)_s dZ_s.\tag{1} \] Here \(F\) is a functional Lipschitz operator. The uniform \(L^p\)-approximation for the solution of (1) with order 1/2 of error by employing the analogue of Euler-Maruyama method is obtained. This method provides an alternative proof of the existence and uniqueness theorem for (1).
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