Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables

Hiroshi Takahashi, Ken Ichi Yoshihara

研究成果: Article査読

1 被引用数 (Scopus)

抄録

It is well-known that under suitable conditions there exists a unique solution of a ddimensional linear stochastic differential equation. The explicit expression of the solution, however, is not given in general. Hence, numerical methods to obtain approximate solutions are useful for such stochastic di erential equations. In this paper, we consider stochastic difference equations corresponding to linear stochastic differential equations. The difference equations are constructed by weakly dependent random variables, and this formulation is raised by the view points of time series. We show a convergence theorem on the stochastic difference equations.

本文言語English
ページ(範囲)377-384
ページ数8
ジャーナルAIMS Mathematics
2
3
DOI
出版ステータスPublished - 2017
外部発表はい

ASJC Scopus subject areas

  • 数学 (全般)

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