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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. ISSN 0178-8051.
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Official URL: http://dx.doi.org/10.1007/PL00008778
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 | ||||||
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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: |
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Volume: | 120 | ||||||
Page Range: | pp. 143-167 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published |
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