scientific article; zbMATH DE number 850217

MaRDI QIDQ4866236zbMATH OpenFDO

Authors Yaozhong Hu, B. Øksendal

Publication date 16 September 1996

zbMATH Keywords

approximation of stochastic differential equationsunique strong solutions

Mathematics Subject Classification ID

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

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Cited in

(24)

• Discrete Wick calculus and stochastic functional equations
• Linear stochastic differential equations and Wick products
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Measurements of ordinary and stochastic differential equations.
• Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations
• Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
• Rate of convergence for Wong-Zakai-type approximations of Itô stochastic differential equations
• An Itô formula for a family of stochastic integrals and related Wong-Zakai theorems
• Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models
• A General Existence And Uniqueness Theorem For Wick-Sdes In
• A sharp interpolation between the Hölder and Gaussian Young inequalities
• Euler approximations of anticipating quasilinear stochastic differential equations
• A new approach to Poincaré-type inequalities on the Wiener space
• SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE
• Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter \(H>1/2\)
• Wick–Malliavin approximation to nonlinear stochastic partial differential equations: analysis and simulations
• Space-Time Stochastic Calculus and White Noise
• Wong–Zakai approximations for quasilinear systems of Itô's-type stochastic differential equations driven by fBm with H > 1 2
• Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
• Local linear estimator for fractional diffusions
• A new numerical scheme for Itô stochastic differential equations based on Wick-type Wong-Zakai arguments
• 1D stochastic pressure equation with log-correlated Gaussian coefficients
• Renormalized stochastic pressure equation with log-correlated Gaussian coefficients
• Stochastic evolution equations with Wick-analytic nonlinearities

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