Finite-dimensional approximations of diffusion measures in a Hilbert space

DOI10.1007/BF02525129MaRDI QIDQ4512285zbMATH OpenFDO

Authors V. G. Bondarenko

Publication date 1 November 2000

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02525129

zbMATH Keywords

absolute continuity of diffusion measurediffusion measurediffusion processfinite-dimensional approximationItô equationperturbation of diffusion processtransaction probability

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Probabilistic measure theory (60A10) Convergence of probability measures (60B10) Stochastic integral equations (60H20) Diffusion processes (60J60)

Review text

The author considers the following problem: let \( \xi (t) \) be a diffusion process in Hilbert space \( H \) satisfying the Itô equation \[ \xi (t) = x + \int_{0}^{t} A(\xi (\tau)) d W(\tau) + \int_{0}^{t} b(\xi (\tau)) d \tau , \quad x \in H, \tag{1} \] where \( W(\tau) \) is a standard Wiener process with values in \( H_-. \) Under certain conditions sufficient for unique solvability of problem (1), the author constructs a sequence of finite-dimensional processes \(\eta_n(t)\) approximating the diffusion process \(\xi(t)\) and proves convergence of processes \(\eta_n(t)\) and their transaction probabilities to the process \(\xi(t)\) and its transaction probability, respectively. Later this result is used to obtain the property of absolute continuity of the diffusion measure when the diffusion operator is disturbed.

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Cited in

(10)

• Approximating the density of infinite-dimensional distributions
• Diffusion on a Hilbert space equipped with a shift- and rotation-invariant measure
• Finite, integrable and bounded time embeddings for diffusions
• A countable representation of the Fleming-Viot measure-valued diffusion
• Support theorem for diffusion processes on Hilbert spaces
• Representations for functionals of Hilbert space valued diffusions
• Finite dimensional approximation of diffusion processes on infinite dimensional spaces
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• FINITE DIMENSIONAL APPROXIMATIONS OF DIFFUSION PROCESSES ON BANACH SPACES
• Approximation of infinite-dimensional fleming-viot diffusions

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