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
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- Aida Shigeki
- Graduate School of Mathematical Sciences, The University of Tokyo
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- Kikuchi Takanori
- Hitachi Power Solutions co., Ltd
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- Kusuoka Seiichiro
- Research Institute for Interdisciplinary Science, Okayama University
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説明
<p>We consider 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 on the coefficients. By a transformation, the stochastic differential equations of Markovian type with reflecting boundary condition on sufficiently good domains are to be associated with the equations concerned in the present paper. The obtained rates of the $L^p$-convergence are the same as those in the case of the stochastic differential equations of Markovian type without boundaries.</p>
収録刊行物
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- Ｔｏｈｏｋｕ Ｍａｔｈｅｍａｔｉｃａｌ Ｊｏｕｒｎａｌ， Ｓｅｃｏｎｄ Ｓｅｒｉｅｓ
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Ｔｏｈｏｋｕ Ｍａｔｈｅｍａｔｉｃａｌ Ｊｏｕｒｎａｌ， Ｓｅｃｏｎｄ Ｓｅｒｉｅｓ 70 (1), 65-95, 2018-03-30
東北大学大学院理学研究科数学専攻
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詳細情報 詳細情報について
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- CRID
- 1390581766252203136
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- ISSN
- 2186585X
- 00408735
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- 本文言語コード
- en
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- 資料種別
- journal article
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- データソース種別
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- JaLC
- Crossref
- KAKEN
- OpenAIRE
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- 抄録ライセンスフラグ
- 使用不可
