Rate of convergence of an approximate solution of stochastic differential equations

1 January 1980

journal article
research article
Published by Taylor & Francis in Stochastics

Vol. 3 (1-4) , 267-276
https://doi.org/10.1080/17442508008833150

Abstract

A rete of convergence for the Wong and Zakai approximation of solutions of stochastic differential equations is obtained, based on an approximation of Browniam Motion by Transport processes

Keywords

APPROXIMATE SOLUTION
STOCHASTIC
APPROXIMATION
CONVERGENCE
DIFFERENTIAL
RETE
EQUATIONS
WONG
ZAKAI
BROWNIAM

This publication has 4 references indexed in Scilit:

Strong approximation of diffusion processes by transport processes
Kyoto Journal of Mathematics, 1979
Approximate solution of random ordinary differential equations
Advances in Applied Probability, 1978
Almost Sure Convergence of Uniform Transport Processes to Brownian Motion
The Annals of Mathematical Statistics, 1971
On the Convergence of Ordinary Integrals to Stochastic Integrals
The Annals of Mathematical Statistics, 1965