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Theory of Probability and Mathematical Statistics

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Euler approximations of anticipating quasilinear stochastic differential equations


Author: Georgii Shevchenko
Translated by: V. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 72 (2005).
Journal: Theor. Probability and Math. Statist. 72 (2006), 167-175
MSC (2000): Primary 60H05; Secondary 60H07, 60H40, 60-08
DOI: https://doi.org/10.1090/S0094-9000-06-00674-0
Published electronically: September 6, 2006
MathSciNet review: 2168146
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Abstract | References | Similar Articles | Additional Information

Abstract: We obtain the rate of convergence of Euler type approximations for an anticipating quasilinear stochastic differential equation involving the white noise integral.


References [Enhancements On Off] (What's this?)

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Additional Information

Georgii Shevchenko
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mathematics and Mechanics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: zhora@univ.kiev.ua

DOI: https://doi.org/10.1090/S0094-9000-06-00674-0
Keywords: Stochastic differential equation, integral with respect to a white noise, Euler approximations, splitting-up method
Received by editor(s): December 17, 2004
Published electronically: September 6, 2006
Additional Notes: Partially supported by grant INTAS YS 03-55-2447.
Article copyright: © Copyright 2006 American Mathematical Society

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