scientific article; zbMATH DE number 1132859

MaRDI QIDQ4383312zbMATH OpenFDO

Authors N. V. Lazakovich, T. V. Stemkovskaya

Publication date 2 December 1998

zbMATH Keywords

Brownian motionfinite-difference approximationStratonovich equation

Mathematics Subject Classification ID

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

Review text

The Stratonovich stochastic differential equation \[ X(t)=X(0)+\int_0^t\sigma( X(s)) dB_s,\qquad t\in[0,T], \] with a driving Brownian motion \(B\) and \(\sigma\in C^2_b(R)\) is approximated by the difference equation \[ X_\delta(t+h)-X_\delta(t) =\sigma(X_\delta(t))( B_\delta(t+h)-B_\delta(t)),\qquad t\in[0,T], \] where \(B_\delta(t)=\delta^{-1}\int_0^\delta B(t+s) ds\). It is proved that \(\sup_{t\in[0,T]}E| X_\delta(t)-X(t)| ^2\to 0\), \(\delta\to 0\), provided \(h=o(\delta)\) and \(\sup_{t\in[0,h]}E| X_\delta(t)-X(0)| ^2\to 0\) as \(\delta\to 0\).

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