Integral approximation of stochastic differential equations with anticipating initial conditions
Abstract
We give a sequence of stochastic integro-differential equations that approximates a stochastic differential equation with an anticipating initial condition and localized Skorokhod stochastic integral. A sequence of solutions of these equations is obtained. The convergence of this sequence to a certain process implies that this process is a solution (generally speaking, local) of the original equation.Downloads
Published
25.07.1995
Issue
Section
Research articles
How to Cite
Kulik, A. M. “Integral Approximation of Stochastic Differential Equations With Anticipating Initial Conditions”. Ukrains’kyi Matematychnyi Zhurnal, vol. 47, no. 7, July 1995, pp. 936–945, https://umj.imath.kiev.ua/index.php/umj/article/view/5488.