Journal article

Approximation Schemes For Stochastic Differential Equations In Hilbert Space

Year:

2007

Published in:

Theory of Probability & Its Applications
stochastic differential equations in Hilbert space
discrete-time approximations
Milstein scheme
Itô–Volterra type equation

For solutions of Itô–Volterra equations and semilinear evolution-type equations we consider approximations via the Milstein scheme, approximations by finite-dimensional processes, and approximations by solutions of stochastic differential equations (SDEs) with bounded coefficients. We prove mean-square convergence for finite-dimensional approximations and establish results on the rate of mean-square convergence for two remaining types of approximation.

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2014
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Fractional Brownian Motion In A Nutshell

Publisher: arxiv

Authors: Georgiy Shevchenko

2011
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Rate Of Convergence Of Euler Approximations Of Solution To Mixed Stochastic Differential Equation Involving Brownian Motion And Fractional Brownian Motion

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Yulia Mishura

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Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Publisher: Statistics & Probability Letters

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Publisher: Modern Stochastics: Theory and Applications

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