ON APPROXIMATION OF ITÔ STOCHASTIC EQUATIONS

DOI10.1070/SM1991V070N01ABEH001254MaRDI QIDQ3353908zbMATHOpenAlexFDO

Authors István Gyöngy

Publication date 1991

Published in Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/sm1991v070n01abeh001254

zbMATH Keywords

semimartingalesIto equationStratonovich equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(7)

• Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Passage to the Limit in Itô Stochastic Equations
• Mimicking an Itō process by a solution of a stochastic differential equation
• Extrapolation Methods for the Weak Approximation of Ito Diffusions
• A systematic elimination procedure for Ito stochastic differential equations and the adiabatic approximation
• On the simulation of iterated Itô integrals.

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