Donsker's delta functions and approximation of heat kernels by the time discretization methods (Q675800)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 989761
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Donsker's delta functions and approximation of heat kernels by the time discretization methods |
scientific article; zbMATH DE number 989761 |
Statements
Donsker's delta functions and approximation of heat kernels by the time discretization methods (English)
0 references
4 March 1998
0 references
The paper considers discrete time approximations for solutions of stochastic differential equations. It derives a general approximation result for Donsker's delta functions which represent a class of generalized Wiener functionals on the Wiener space. The Itô-Taylor approximation scheme of a given order of strong convergence is shown to converge in every Sobolev norm in the Malliavin calculus.
0 references
stochastic differential equations
0 references
discrete time approximation
0 references
0.8706471
0 references
0.86822784
0 references
0.85951716
0 references
0.8587115
0 references
0.85745233
0 references
0.8512372
0 references
0.8499609
0 references
0.8493733
0 references
