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Apporoximate solutions for stochastic differential equations with pathwise uniqueness

 

作者: Xuerong Mao,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 1994）
卷期: Volume 12, issue 3  

页码: 355-367

 

ISSN:0736-2994

 

年代: 1994

 

DOI:10.1080/07362999408809356

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

In this paper we study the Caratheodory approximation for the solution of a stochastic differential equation. It is shown that the pathwise uniqueness of the solution implies the convergence in the strong sense of the Carathéodory approximation to the solution.

 

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