Approximation for the solutions of stochastic differential equations. i: lp-convergence

DOI10.1080/17442508908833593zbMath0695.60062OpenAlexW2045338868MaRDI QIDQ3471284

Vlad Bally

Publication date: 1989

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508908833593

zbMATH Keywords

stabilitystochastic differential equationsapproximationmoment inequalitiessquare integrable martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (3)

Controlled diffusion processes with Markovian switchings for modeling dynamical engineering systems ⋮ 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 ⋮ Finite dimensional approximations to Wiener measure and path integral formulas on manifolds

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