Approximation for the solutions of stochastic differential equations: ii strong convergence

DOI10.1080/17442508908833602MaRDI QIDQ3471285zbMATH OpenOpenAlexWikidataFDO

Authors Vlad Bally

Publication date 1989

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508908833602

zbMATH Keywords

moment inequalitiesstochastic differential equationsstrong approximationstrong convergence

Mathematics Subject Classification ID

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

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Cited in

(14)

• Finite dimensional approximations to Wiener measure and path integral formulas on manifolds
• A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
• C^-convergence of Picard's successive approximations to solutions of stochastic differential equations
• Convergence rate of strong approximations of compound random maps, application to SPDEs
• Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
• Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
• Approximation for the solutions of stochastic differential equations. i: l^p-convergence
• An estimate of the error for strong solutions of stochastic differential equations
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• On the approximation of stochastic partial differential equations II
• scientific article; zbMATH DE number 18227 (Why is no real title available?)
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• Strong approximation of continuous time stochastic processes
• Weak approximation of SDEs by discrete-time processes

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