A.s. approximation results for multiplicative stochastic integrals
نویسنده
چکیده
© Springer-Verlag, Berlin Heidelberg New York, 1982, tous droits réservés. L’accès aux archives du séminaire de probabilités (Strasbourg) (http://portail. mathdoc.fr/SemProba/) implique l’accord avec les conditions générales d’utilisation (http://www.numdam.org/legal.php). Toute utilisation commerciale ou impression systématique est constitutive d’une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright.
منابع مشابه
A Break of the Complexity of the Numerical Approximation of Nonlinear SPDEs with Multiplicative Noise
A new algorithm for simulating stochastic partial differential equations (SPDEs) of evolutionary type, which is in some sense an infinite dimensional analog of Milstein’s scheme for finite dimensional stochastic ordinary differential equations (SODEs), is introduced and analyzed in this article. The Milstein scheme is known to be impressively efficient for scalar one-dimensional SODEs but only ...
متن کاملA stochastic approximation algorithm with multiplicative step size modification
An algorithm of searching a zero of an unknown function φ : R → R is considered: xt = xt−1 − γt−1yt, t = 1, 2, . . ., where yt = φ(xt−1) + ξt is the value of φ measured at xt−1 and ξt is the measurement error. The step sizes γt > 0 are modified in the course of the algorithm according to the rule: γt = min{u γt−1, ḡ} if yt−1yt > 0, and γt = d γt−1, otherwise, where 0 < d < 1 < u, ḡ > 0. That is...
متن کاملA stochastic approximation algorithm with multiplicative step size adaptation
An algorithm of searching a zero of an unknown function φ : R → R is considered, xt = xt−1−γt−1yt, t = 1, 2, . . ., where yt = φ(xt−1)+ξt is the value of φmeasured at xt−1 with some error, ξt is this error. The step sizes γt > 0 are random positive values and are calculated according to the rule: γt = min{u γt−1, ḡ} if yt−1yt > 0, and γt = d γt−1, otherwise. Here 0 < d < 1 < u, ḡ > 0. The funct...
متن کاملHomogenization for Deterministic Maps and Multiplicative Noise
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361–1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential equation with additive noise. In contrast to other approaches, the assumptions on the fast flow are very mild. In this paper, we extend this result from continuous ...
متن کاملThe using of Haar wavelets for the expansion of fractional stochastic integrals
Abstract: In this paper, an efficient method based on Haar wavelets is proposed for solving fractional stochastic integrals with Hurst parameter. Properties of Haar wavelets are described. Also, the error analysis of the proposed method is investigated. Some numerical examples are provided to illustrate the computational efficiency and accuracy of the method.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2017