Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
DOI10.1080/07362994.2015.1038840zbMATH Open1333.39014OpenAlexW1877497270MaRDI QIDQ3448338FDOQ3448338
Authors: Hiroshi Takahashi, Shuya Kanagawa, Ken-ichi Yoshihara 
Publication date: 23 October 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2015.1038840
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- scientific article; zbMATH DE number 2197685
difference equationEuler-Maruyama schemeweakly dependent random variablesBlack-Scholes-type stochastic differential equation
Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete version of topics in analysis (39A12) Stability theory for difference equations (39A30) Stochastic difference equations (39A50)
Cites Work
- Moment bounds for stationary mixing sequences
- Almost sure invariance principles for partial sums of mixing B-valued random variables
- Gaussian approximations for non-stationary multiple time series
- An approximation of partial sums of independent RV's, and the sample DF. II
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Split invariance principles for stationary processes
- Basic properties of strong mixing conditions. A survey and some open questions
- Strong approximation for a class of stationary processes
- Central Limit Theorems for dependent variables. I
- Approximation theorems for independent and weakly dependent random vectors
- Rate of strong Gaussian approximation for sums of i.i.d. multidimensional random vectors
- Stationarity and geometric ergodicity of a class of nonlinear ARCH models
- Title not available (Why is that?)
Cited In (10)
- Optimal portfolios based on weakly dependent data
- Approximation of optimal prices when basic data are weakly dependent
- Asymptotic behavior of solutions of Black-Scholes type equations based on weakly dependent random variables
- A note on the asymptotics of a stochastic vector difference equation
- Title not available (Why is that?)
- Asymptotic behaviour of a nonlinear stochastic difference equation modelling an inefficient financial market
- Asymptotic proportionality (weak ergodicity) and conditional asymptotic equality of solutions to time-heterogeneous sublinear difference and differential equations
- Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables
- Difference equations defined by some dependent random vectors
- Random difference equations with subexponential innovations
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