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Teoriya Veroyatnostei i ee Primeneniya, 1979, Volume 24, Issue 4, Pages 866–872 (Mi tvp2914)  

Short Communications

On the strong convergence of the sequence of diffusion type processes

S. I. Pisanec

Institute of Cybernetics AS Ukrainian SSR, Kiev
Abstract: Let $\xi_t^{(n)}$, $t\le T$ be the sequence of solutions of stochastic differential equations
$$ d\xi_t^{(n)}=\alpha_t^{(n)}(\xi_t^{(n)})\,dt+dw_t,\qquad\xi_t^{(n)}=0,\qquad n=0,1,\dots $$
In this paper we study the conditions under which
$$ \lim_{n\to\infty}\mathbf M\biggl|\int_0^t\alpha_s^{(n)}(w)\,ds- \int_0^t\alpha_s^{(0)}(w)\,ds\biggr|^2=0,\qquad t\le T, $$
and the conditions under which
$$ \lim_{n\to\infty}\mathbf M|\xi_t^{(n)}-\xi_t^{(0)}|^2=0,\qquad t\le T. $$
Received: 10.10.1977
English version:
Theory of Probability and its Applications, 1980, Volume 24, Issue 4, Pages 863–869
DOI: https://doi.org/10.1137/1124102
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. I. Pisanec, “On the strong convergence of the sequence of diffusion type processes”, Teor. Veroyatnost. i Primenen., 24:4 (1979), 866–872; Theory Probab. Appl., 24:4 (1980), 863–869
Citation in format AMSBIB
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\by S.~I.~Pisanec
\paper On the strong convergence of the sequence of diffusion type processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1979
\vol 24
\issue 4
\pages 866--872
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=550545}
\zmath{https://zbmath.org/?q=an:0441.60062|0416.60070}
\transl
\jour Theory Probab. Appl.
\yr 1980
\vol 24
\issue 4
\pages 863--869
\crossref{https://doi.org/10.1137/1124102}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1979KW11900020}
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  • https://www.mathnet.ru/eng/tvp/v24/i4/p866
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