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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 3, Pages 476–495
DOI: https://doi.org/10.4213/tvp35 (Mi tvp35) 		 
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
Full-text PDF (1748 kB) Citations (8)
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DOI: https://doi.org/10.4213/tvp35
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
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 3, Pages 442–458
DOI: https://doi.org/10.1137/S0040585X97982487
Bibliographic databases:
Language: Russian
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
Citation in format AMSBIB
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    • This publication is cited in the following 8 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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