On the approximation of stochastic differential equations

DOI10.1080/17442508808833497zbMATH Open0635.60071OpenAlexW2003662159MaRDI QIDQ3774671FDOQ3774671

Authors: István Gyöngy 

Publication date: 1988

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508808833497

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zbMATH Keywords

perturbationsuniform convergence in probabilitymatrix-valued random fieldstability properties of the stochastic differential equation

Mathematics Subject Classification ID

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

Cites Work

• On the gap between deterministic and stochastic ordinary differential equations
• On the Convergence of Ordinary Integrals to Stochastic Integrals
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• Lectures on stochastic flows and applications. Delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by M. K. Ghosh
• Une condition ctexistence et d'unicitépour les solutions fortes d'équations différentielles stochastiques
• A class of approximations of Brownian motion

Cited In (32)

• Space semi-discretisations for a stochastic wave equation
• Discrete approximation of stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Abstract stochastic approximations and applications
• Approximation of stochastic equations driven by predictable processes
• One-step approximations for stochastic functional differential equations
• Approximation of SDEs: a stochastic sewing approach
• Wong-Zakai approximations for stochastic differential equations
• Title not available (Why is that?)
• On the approximation of stochastic differential equation and on Stroock- Varadhan's support theorem
• Approximations of solutions of stochastic differential equations driven by semimartingales
• Support theorem for an SPDE with multiplicative noise driven by a cylindrical Wiener process on the real line
• Stochastic Approximations and Differential Inclusions
• On the approximation of stochastic partial differential equations II
• Wong-zakai approximation and support theorem for semilinear stochastic partial differential equations with finite dimensional noise in the whole space
• Some remarks on the numerical approximation of stochastic differential equations
• On approximation of stochastic differential equations with coefficients depending on the past
• Semi-discrete approximations for stochastic differential equations and applications
• Approximation en norme besov-orlicz de la solution d'une equation differéntielle stochastique
• Approximative approaches to a stochastic partial differential equation by point systems
• Title not available (Why is that?)
• Convergence in probability for perturbed stochastic integral equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the approximation of stochastic partial differential equations i
• On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes
• Title not available (Why is that?)
• Approximation theorems based on random partitions for stochastic differential equation and their applications
• Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations
• Approximation of random dynamical systems with discrete time by stochastic differential equations: I. Theory
• Title not available (Why is that?)

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