Setwise convergence of solution measures of stochastic differential equations

DOI10.1016/0022-247X(87)90293-9MaRDI QIDQ1090002zbMATH OpenFDO

Authors Peter Nwanneka Okonta

Publication date 1987

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Brownian motionGirsanov's theoremchange of measuressetwise convergence of measures

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• scientific article; zbMATH DE number 850347
• Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
• Averaging for systems of stochastic equations with random disturbances
• On strong solutions to countable systems of SDEs with interaction and non-Lipschitz drift
• Uniqueness of Solutions of Stochastic Differential Equations
• On the uniqueness and convergence of successive approximations for a class of stochastic differential equations
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs

Cites work

• scientific article; zbMATH DE number 3176450 (Why is no real title available?)
• scientific article; zbMATH DE number 3669505 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• scientific article; zbMATH DE number 3310453 (Why is no real title available?)
• scientific article; zbMATH DE number 3334738 (Why is no real title available?)
• scientific article; zbMATH DE number 3339874 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• scientific article; zbMATH DE number 3388297 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Existence of Optimal Stochastic Control Laws
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• On a Formula Concerning Stochastic Differentials
• On the Solutions of a Stochastic Control System
• Optimal Discounted Stochastic Control for Diffusion Processes
• Stability and positive supermartingales

Cited in

(3)

• The stochastic reach-avoid problem and set characterization for diffusions
• A criterion on a repeller being a null set of any limit measure for stochastic differential equations
• An extension of the ventcel- freidlin large deviation principle

This page was built for publication: Setwise convergence of solution measures of stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1090002)