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http://cimat.repositorioinstitucional.mx/jspui/handle/1008/576| Strong Local Linear Approximations for Stochastic Differential Equations Driven by Semimartingales | |
| ROLANDO JOSE BISCAY LIRIO | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Ecuaciones Diferenciales Estocasticas | |
| In previous works, the Local Linearization method has been expanded for the simulation of a speciÖc type of stochastic di§erential equations driven by semimartingales, namely equa- tions with additive noise. The e§ectiveness of the resulting Local Linear approximation was shown by means of simulations, and a strong convergence result was also obtained for such approximation. In this note, the Local Linearization method is extended to a notably wider class of equations, and the resulting Local Linear approximations are proved to be bounded and convergent uniformly on compacts in probability. | |
| Centro de Investigación en Matemáticas AC | |
| 08-09-2016 | |
| Protocolo de investigación | |
| Inglés | |
| Investigadores | |
| PROCESOS ESTOCÁSTICOS | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
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| Fichero | Tamaño | Formato | |
|---|---|---|---|
| I-16-02.pdf | 931.26 kB | Adobe PDF | Visualizar/Abrir |