Skip to main content

A note on approximation for stochastic differential equations

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1321)

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   59.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland and Kodansha, Tokyo, 1981.

    MATH  Google Scholar 

  2. S. Kawabata and T. Yamada, On some limit theorems for solutions of stochastic differential equations, Séminaire de Probabilités XVI, Lecture Notes in Math., 920, Springer Verlag, Berlin, 1980/81.

    Google Scholar 

  3. N. V. Krylov, Controlled Diffusion Processes, Springer Verlag, Berlin, 1980.

    CrossRef  MATH  Google Scholar 

  4. J. F. Le Gall, Application du temps local aux équations differentielles stochastiques unidimensionnelles, Séminaire de Probabilités XVII, Lecture Notes in Math., 986, Springer Verlag, Berlin, 1981/82.

    Google Scholar 

  5. P. L. Lions and A. S. Sznitman, Stochastic differential equation with reflecting boundary conditions, Comm. Pure Appl. Math., 37(1984), 511–537.

    CrossRef  MathSciNet  MATH  Google Scholar 

  6. R. S. Liptser and A. N. Shiryayev, Statistics of Random Processes 1, Springer Verlag, Berlin, 1977.

    CrossRef  MATH  Google Scholar 

  7. A. V. Skorohod, Studies in the Theory of Random Processes, Addison-Wesley, Washington, 1965.

    Google Scholar 

  8. H. Tanaka, Stochastic differential equations with reflecting boundary conditions in convex regions, Hiroshima Math. J., 9(1979), 163–177.

    MathSciNet  MATH  Google Scholar 

  9. T. Yamada, Sur une construction des solutions d'équations différentielles stochastiques des les cas non-Lipschitzien, Séminaire de Probabilités XII, Lecture Notes in Math., 649, 1976/77.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 1988 Springer-Verlag

About this chapter

Cite this chapter

Kaneko, H., Nakao, S. (1988). A note on approximation for stochastic differential equations. In: Azéma, J., Yor, M., Meyer, P.A. (eds) Séminaire de Probabilités XXII. Lecture Notes in Mathematics, vol 1321. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0084132

Download citation

  • DOI: https://doi.org/10.1007/BFb0084132

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-19351-7

  • Online ISBN: 978-3-540-39228-6

  • eBook Packages: Springer Book Archive