Weak Approximation of SDEs by Discrete-Time Processes
Author
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2008, Issue 2008 (31 Dec. 2008), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2008-03-23
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
We consider the martingale problem related to the solution of an SDE on the line.
It is shown that the solution of this martingale problem can be approximated by solutions of the corresponding time-discrete martingale problems under some conditions.
This criterion is especially expedient for establishing the convergence of population processes to SDEs.
We also show that the criterion yields a weak Euler scheme approximation of SDEs under fairly weak assumptions on the driving force of the approximating processes.
American Psychological Association (APA)
Zähle, Henryk. 2008. Weak Approximation of SDEs by Discrete-Time Processes. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2008, no. 2008, pp.1-15.
https://search.emarefa.net/detail/BIM-459584
Modern Language Association (MLA)
Zähle, Henryk. Weak Approximation of SDEs by Discrete-Time Processes. Journal of Applied Mathematics and Stochastic Analysis No. 2008 (2008), pp.1-15.
https://search.emarefa.net/detail/BIM-459584
American Medical Association (AMA)
Zähle, Henryk. Weak Approximation of SDEs by Discrete-Time Processes. Journal of Applied Mathematics and Stochastic Analysis. 2008. Vol. 2008, no. 2008, pp.1-15.
https://search.emarefa.net/detail/BIM-459584
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-459584