Approximate solutions to anticipative stochastic differential equations

DOI10.1016/J.SPL.2007.05.004MaRDI QIDQ2475422zbMATH OpenOpenAlexFDO

Authors Yuliya S. Mishura, G. M. Shevchenko

Publication date 11 March 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.05.004

zbMATH Keywords

\(\varepsilon\)-solutionSkorohod integralwhite noise space

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Recommendations

• scientific article; zbMATH DE number 432954
• scientific article; zbMATH DE number 218612
• scientific article; zbMATH DE number 919367
• scientific article; zbMATH DE number 4199182
• Anticipative calculus for Lévy processes and stochastic differential equations^*

Cites work

• A General Existence And Uniqueness Theorem For Wick-Sdes In
• scientific article; zbMATH DE number 1121863 (Why is no real title available?)
• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• Itô-Skorohod stochastic equations and applications to finance
• Linear Skorohod stochastic differential equations
• On a Generalization of a Stochastic Integral
• Skorohod stochastic differential equations of diffusion type

Cited in

(8)

• Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
• Euler approximations of anticipating quasilinear stochastic differential equations
• Approximation en norme Besov-orlicz de la solution D'une equation differentielle Stochastique anticipative
• Anticipative calculus for Lévy processes and stochastic differential equations^*
• scientific article; zbMATH DE number 5592159 (Why is no real title available?)
• On equivalence of solution to stochastic differential equation with antipating evolution system
• Optimal pointwise approximation of anticipating SDEs
• On near-martingales and a class of anticipating linear stochastic differential equations

This page was built for publication: Approximate solutions to anticipative stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2475422)