Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors

DOI10.1080/07362994.2015.1038840zbMath1333.39014OpenAlexW1877497270MaRDI QIDQ3448338

Shuya Kanagawa, Hiroshi Takahashi, Ken-ichi Yoshihara

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1038840

zbMATH Keywords

difference equationEuler-Maruyama schemeweakly dependent random variablesBlack-Scholes-type stochastic differential equation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete version of topics in analysis (39A12) Stability theory for difference equations (39A30) Stochastic difference equations (39A50)

Related Items (3)

Random difference equations with subexponential innovations ⋮ Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables ⋮ Optimal portfolios based on weakly dependent data

Cites Work

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• Central Limit Theorems for dependent variables. I
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Moment bounds for stationary mixing sequences

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