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This article is cited in 8 scientific papers (total in 8 papers)
Approximation schemes for stochastic differential equations in Hilbert space
Yu. S. Mishura, G. M. Shevchenko National Taras Shevchenko University of Kyiv
Abstract:
For solutions of Itô–Volterra equations and semilinear evolution-type equations we consider approximations via the Milstein scheme, approximations by finite-dimensional processes, and approximations by solutions of stochastic differential equations (SDEs) with bounded coefficients. We prove mean-square convergence for finite-dimensional approximations and establish results on the rate of mean-square convergence for two remaining types of approximation.
Keywords:
stochastic differential equations in Hilbert space, discrete-time approximations, Milstein scheme, Itô–Volterra type equation.
Received: 29.09.2003 Revised: 14.04.2006
Citation:
Yu. S. Mishura, G. M. Shevchenko, “Approximation schemes for stochastic differential equations in Hilbert space”, Teor. Veroyatnost. i Primenen., 51:3 (2006), 476–495; Theory Probab. Appl., 51:3 (2007), 442–458
Linking options:
https://www.mathnet.ru/eng/tvp35https://doi.org/10.4213/tvp35 https://www.mathnet.ru/eng/tvp/v51/i3/p476
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