Skip to main content

On almost sure convergence of modified Euler-Peano approximation of solution to an S.D.E. driven by a semimartingale

  • 354 Accesses

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1485)

Keywords

  • Step Process
  • Lipschitz Function
  • Successive Approximation
  • Lipschitz Condition
  • Stochastic Integration

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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   44.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   59.00
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. K. Bichteler. Stochastic integration and L p— theory of Stochastic integration. Ann. Prob., 9, 1981, 48–89.

    CrossRef  MathSciNet  MATH  Google Scholar 

  2. M. Emery. Une topology sur e’espace des semimartingales. Seminaire de Probablities XIII, Lecture notes in Mathematics 721, p. 260–280, Springer-Verlag, Berlin (1979).

    Google Scholar 

  3. R.L. Karandikar. Pathwise solution of stochastic differential equations. Sankhya A, 43, 1981, 121–132.

    MathSciNet  MATH  Google Scholar 

  4. R.L. Karandikar. On Metivier-Pellaumail inequality, Emery topology and Pathwise formuale in Stochastic calculus. Sankhya A, 51, 1989, 121–143.

    MathSciNet  MATH  Google Scholar 

  5. M. Metivier. Semimartingales, Walter de Gruter, Berlin, New York. (1982).

    CrossRef  MATH  Google Scholar 

  6. P.A. Meyer. Sur la method de L.Schwartz pour les E.D.S. To appear in Seminaire de probablites.

    Google Scholar 

  7. L. Schwartz. La convergence de la serie de Picard pour les e.d.s. Seminaire de Probablities XXIII, Lecture notes in Mathematics 1372, p. 343–354, Springer-Verlag Berlin (1989).

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 1991 Springer-Verlag

About this paper

Cite this paper

Karandikar, R.L. (1991). On almost sure convergence of modified Euler-Peano approximation of solution to an S.D.E. driven by a semimartingale. In: Azéma, J., Yor, M., Meyer, P.A. (eds) Séminaire de Probabilités XXV. Lecture Notes in Mathematics, vol 1485. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0100851

Download citation

  • DOI: https://doi.org/10.1007/BFb0100851

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-54616-0

  • Online ISBN: 978-3-540-38496-0

  • eBook Packages: Springer Book Archive