THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

数学物理学报(英文版) ›› 1994, Vol. 14 ›› Issue (3): 272-282.

THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

龙红卫

Institute of Mathematical Sciences, Chin. Acad. of Sci., Wuhan 430071. China

收稿日期:1990-12-18 出版日期:1994-09-25 发布日期:1994-09-25
基金资助:
Research supported by National Natural Science Foundation of China.

THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

Long Hongwei

Institute of Mathematical Sciences, Chin. Acad. of Sci., Wuhan 430071. China

Received:1990-12-18 Online:1994-09-25 Published:1994-09-25
Supported by:
Research supported by National Natural Science Foundation of China.

摘要/Abstract

摘要： In this paper,we consider the approximation problem of stochastic differential equation with respect to two-parameter Wiener processes and deal with the relation between the solution of stochastic differential equation dX_n=σ(X_n)dB_z+(1)/4σσ'(X_n) dz and the solution of ordinary differential equation dX_n(z)=σ(X_n(z)dB_zⁿ,where B_zⁿ is a special sequence of approximation to B_z.

龙红卫. THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE[J]. 数学物理学报(英文版), 1994, 14(3): 272-282.

Long Hongwei. THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE[J]. Acta mathematica scientia,Series B, 1994, 14(3): 272-282.

THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

THE APPROXIMATION THEOREM OF STOCHASTIC DIFFERENTIAL EQUATIONS IN THE PLANE

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