A diffusion approximation result for two parameter processes

DOI10.1007/BF01192255zbMath0794.60060OpenAlexW2031203096MaRDI QIDQ1326296

René A. Carmona, Jean-Pierre Fouque

Publication date: 28 August 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01192255

zbMATH Keywords

stochastic differential equationdiffusion approximationboundary conditionGoursat problemtwo-parameter processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

Weak convergence to a class of Gaussian proccesses in anisotropique ⋮ Diffusion approximation for hyperbolic stochastic differential equations ⋮ An approximation result for a quasi-linear stochastic heat equation

Cites Work

• Unnamed Item
• Existence of strong solutions for stochastic differential equations in the plane
• Random nonlinear wave equations: Smoothness of the solutions
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Stochastic integrals in the plane
• Some remarks on a linear stochastic differential equation
• Multiple Wiener-Ito integrals possessing a continuous extension
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications

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