The rates of the \(L^p\)-convergence of the Euler-Maruyama and Wong-Zakai approximations of path-dependent stochastic differential equations under the Lipschitz condition

DOI10.2748/tmj/1520564419zbMath1394.60057OpenAlexW2790868791MaRDI QIDQ1751955

Shigeki Aida, Seiichiro Kusuoka, Takanori Kikuchi

Publication date: 25 May 2018

Published in: Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2748/tmj/1520564419

zbMATH Keywords

stochastic differential equationrate of convergenceWong-Zakai approximationEuler-Maruyama approximationreflecting boundary conditionpath-dependent coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients

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