On approximation of solutions to a class of stochastic equations

DOI10.1023/A:1004893510199MaRDI QIDQ5932627zbMATH OpenFDO

Authors N. V. Lazakovich, O. L. Yablonskiĭ

Publication date 10 June 2001

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/121303

zbMATH Keywords

\(\theta \)-integralapproximation of a solutionfinite-difference equationstochastic equation

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

The article is devoted to studying the problem of approximation of solutions to stochastic equations in \(\theta\)-integrals which generalize the Itô and Stratonovich stochastic integrals. The authors prove that if the smoothing of a Brownian motion is represented as a linear combination of Itô and Stratonovich smoothings, then a solution to stochastic equations in \(\theta\)-integrals for \(0\leq\theta\leq 1/2\) can be approximated by a solution to the average finite-difference equation in the space \(L^2(\Omega, {\mathcal A}, P)\) over random variables and uniformly with respect to nonrandom variables. The authors also discuss the case of \(1/2 < \theta \leq 1\) and, incidentally, obtain estimates for the rate of convergence.

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