A duality approach for the weak approximation of stochastic differential equations
A duality approach for the weak approximation of stochastic differential equations
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DOI：
10.1214/105051606000000060
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发表时间：
2006-08
影响因子：
1.8
通讯作者：
E. Cl'ement;A. Kohatsu-Higa;D. Lamberton
中科院分区：
文献类型：
--
作者：
E. Cl'ement;A. Kohatsu-Higa;D. Lamberton
在这篇文章中，我们发展了一种新的方法来证明一般随机微分方程的弱逼近结果。而不是使用偏微分方程的方法，通常是做扩散，这里考虑的方法使用的线性方程的误差过程所满足的属性。这种方法似乎适用于一大类过程，我们作为一个例子，随机延迟方程的弱近似。
In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach considered here uses the properties of the linear equation satisfied by the error process. This methodology seems to apply to a large class of processes and we present as an example the weak approximation of stochastic delay equations.