Geodesic
Approximation schemes for stochastic differential equations in Hilbert space
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 476-495

Voir la notice de l'article provenant de la source Math-Net.Ru

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.
Keywords: stochastic differential equations in Hilbert space, discrete-time approximations, Milstein scheme
Mots-clés : Itô–Volterra type equation. 
@article{TVP_2006_51_3_a2,
     author = {Yu. S. Mishura and G. M. Shevchenko},
     title = {Approximation schemes for stochastic differential equations in {Hilbert} space},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {476--495},
     publisher = {mathdoc},
     volume = {51},
     number = {3},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a2/}
}
TY  - JOUR
AU  - Yu. S. Mishura
AU  - G. M. Shevchenko
TI  - Approximation schemes for stochastic differential equations in Hilbert space
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2006
SP  - 476
EP  - 495
VL  - 51
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a2/
LA  - ru
ID  - TVP_2006_51_3_a2
ER  - 
%0 Journal Article
%A Yu. S. Mishura
%A G. M. Shevchenko
%T Approximation schemes for stochastic differential equations in Hilbert space
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2006
%P 476-495
%V 51
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a2/
%G ru
%F TVP_2006_51_3_a2
Yu. S. Mishura; G. M. Shevchenko. Approximation schemes for stochastic differential equations in Hilbert space. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 476-495. http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a2/