A Note on Ruler's Approximations

Potential Analysis

Volumn 8, Issue 3, 1998, Pages 205-216

  Gyöngy, István ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Euler's approximations; Stochastic differential equations; Strong solutions

Indexed keywords

EID: 0043228001     PISSN: 09262601     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008605221617     Document Type: Article

References (7)

1. Alyushina, L. A.: 'Euler polygonal lines for Itô's equations with monotone coefficients', Theory Probab. Appl. 32 (1987), 340-346.
2. Gyöngy, I. and Krylov, N. V.: 'Existence of strong solutions for Itô's stochastic equations via approximations', Probab. Theory Relat. Fields 105 (1996), 143-158.
3. Krylov, N. V.: 'On Itô's stochastic integral equations', Theory Probab. Appl. 14 (1969), 330-336.
4. Krylov, N. V.: 'Extremal properties of solutions of stochastic equations', Theory Probab. Appl. 29 (1984), 205-214.
5. Krylov, N. V.: 'A simple proof of the existence of a solution of Itô's Equation with monotone coefficients', Theory Probab. Appl. 3 (1990), 583-587.
6. Krylov, N. V.: Controlled Diffusion Process, Springer-Verlag, New York, Heidelberg, Berlin, 1980.
7. Maruyama, G.: 'Continuous Markov processes and stochastic equations', Rend Circ. Mat. Palermo 4 (1955), 48-90.