On approximation of stochastic differential equations with coefficients depending on the past

DOI10.1007/BF02450421zbMath0796.60066OpenAlexW2023301042MaRDI QIDQ1324861

Vigirdas Mackevičius

Publication date: 19 July 1994

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02450421

zbMATH Keywords

stochastic differential equationuniform convergencecontinuous semimartingalesdriving semimartingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation

Cites Work

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• \(S^ p\)-stability of solutions of symmetric stochastic differential equations
• Convergence in probability for perturbed stochastic integral equations
• On stationary solutions of a stochastic differential equation
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• Existence and uniqueness of the solutions of stochastic differential equations
• On the approximation of stochastic differential equations

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