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Rate of convergence of transport processes with an application to stochastic differential equations
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  • Published: July 1988

Rate of convergence of transport processes with an application to stochastic differential equations

  • M. Csörgő1 &
  • L. Horváth2 

Probability Theory and Related Fields volume 78, pages 379–387 (1988)Cite this article

Summary

We obtain a rate of convergence of uniform transport processes to Brownian motion, which we apply to the Wong and Zakai approximation of stochastic integrals.

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Author information

Authors and Affiliations

  1. Department of Mathematics and Statistics, Carleton University, K1S 5B6, Ottawa, Canada

    M. Csörgő

  2. Bolyai Institute, Szeged University, Aradi vértanúk tere 1, H-6720, Szeged, Hungary

    L. Horváth

Authors
  1. M. Csörgő
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  2. L. Horváth
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Additional information

The research of both authors was supported by a NSERC Canada Grant and by an EMR Canada Grant of M. Csörgö at Carleton University, Ottawa

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Cite this article

Csörgő, M., Horváth, L. Rate of convergence of transport processes with an application to stochastic differential equations. Probab. Th. Rel. Fields 78, 379–387 (1988). https://doi.org/10.1007/BF00334201

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  • Received: 16 October 1986

  • Issue Date: July 1988

  • DOI: https://doi.org/10.1007/BF00334201

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Keywords

  • Differential Equation
  • Stochastic Process
  • Brownian Motion
  • Probability Theory
  • Statistical Theory
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