Infinite-dimensional Langevin equations: Uniqueness and rate of convergence for finite-dimensional approximations (Q5944089)
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scientific article; zbMATH DE number 1649178
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| English | Infinite-dimensional Langevin equations: Uniqueness and rate of convergence for finite-dimensional approximations |
scientific article; zbMATH DE number 1649178 |
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Infinite-dimensional Langevin equations: Uniqueness and rate of convergence for finite-dimensional approximations (English)
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19 September 2001
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Consider the stochastic differential equation (SDE) \(dX=B(t,X) dt+dW\) on an infinite-dimensional (linear) state space \(E\) driven by a Wiener process \(W\). Typical examples are stochastic partial differential equations on a space \(E\) of (generalized) functions on an open domain in \(\mathbb{R}^d\). In this very interesting paper the author develops a new method to prove weak uniqueness for the above SDE. One ingredient is the analysis of finite-dimensional approximations of \(B(t,X)\) and its rate of convergence. Convincing applications are presented.
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stochastic partial differential equations
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Girsanov theorem
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weak uniqueness
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martingale problem
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0.7649046778678894
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0.760144829750061
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0.7592037916183472
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