Journal article

Euler Approximations Of Anticipating Quasilinear Stochastic Differential Equations

Year:

2006

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Stochastic differential equation

integral with respect to a white noise

Euler approximations

splitting-up method

We obtain the rate of convergence of Euler type approximations for an anticipating quasilinear stochastic differential equation involving the white noise integral.

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Other publications by

74 publications found

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Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity

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Estimation of diffusion parameter for stochastic heat equation with white noise

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Authors: Georgiy Shevchenko, Olena Soloveiko

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Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

2020

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Limit Theorems For Additive Functionals Of Continuous Time Random Walks

Publisher: Proceedings of the Royal Society of Edinburgh: Section A Mathematics

Authors: Georgiy Shevchenko, Yuri M. Zhukov, Yulia Mishura

2004

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Euler approximations of solutions of abstract equations and their applications in the theory of semigroups

Publisher: Springer

Authors: Georgiy Shevchenko, Yulia Mishura

2012

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The structure of the stopping region in a Lévy model

Publisher: American Mathematical Society

Authors: Georgiy Shevchenko, A.G. Moroz

2017

Book

Theory And Statistical Applications Of Stochastic Processes

Publisher: ISTE

Authors: Georgiy Shevchenko, Yulia Mishura

2011

Working paper

Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko

2023

Journal article

Minimax Identity With Robust Utility Functional For A Nonconcave Utility

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Olena Bahchedjioglou