Weak approximation of SDEs by discrete-time processes

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dc.contributor.authorZähle, Henryk
dc.date.accessioned2008-04-15T11:56:56Z
dc.date.available2008-04-15T11:56:56Z
dc.date.issued2008-04-15T11:56:56Z
dc.description.abstractWe consider the martingale problem related to the solution of an SDE on the line. It is shown that the solution of this martingale problem can be approximated by solutions of the corresponding time-discrete martingale problems under some conditions. This criterion is especially expedient for establishing the convergence of population processes to SDEs. We also show that the criterion yields a weak Euler scheme approximation of SDEs under fairly weak assumptions on the driving force of the approximating processes.en
dc.identifier.urihttp://hdl.handle.net/2003/25186
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-69
dc.language.isoende
dc.relation.ispartofseriesMathematical Preprints;2008-01en
dc.subjectstochastic differential equationen
dc.subjectmartingale problemen
dc.subjectDoob-Meyer decompositionen
dc.subjectdiscrete-time processen
dc.subjectweak convergenceen
dc.subjectGalton-Watson processen
dc.subjectEuler schemeen
dc.subject.ddc510
dc.titleWeak approximation of SDEs by discrete-time processesen
dc.typeTextde
dc.type.publicationtypepreprintde
dcterms.accessRightsopen access

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