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Infinite-dimensional Langevin equations : uniqueness and rate of convergence for finite-dimensional approximations

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Assing, Sigurd (2001) Infinite-dimensional Langevin equations : uniqueness and rate of convergence for finite-dimensional approximations. Probability Theory and Related Fields, 120 . pp. 143-167.

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Official URL: http://dx.doi.org/10.1007/PL00008778

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Abstract

The paper deals with the infinite-dimensional stochastic equation dX= B(t, X) dt + dW driven by a Wiener process which may also cover stochastic partial differential equations. We study a certain finite dimensional approximation of B(t, X) and give a qualitative bound for its rate of convergence to be high enough to ensure the weak uniqueness for solutions of our equation. Examples are given demonstrating the force of the new condition.

Item Type: Journal Article
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Journal or Publication Title: Probability Theory and Related Fields
Publisher: Springer-Verlag
ISSN: 0178-8051
Official Date: June 2001
Dates:
DateEvent
June 2001Published
15 January 2001Accepted
Volume: 120
Page Range: pp. 143-167
Status: Peer Reviewed
Publication Status: Published

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