We study the convergence rate of a Milstein‐type approximation of the solution of an integral equation driven by a special continuous p‐semimartingale.
Apie stochastinių integralinių lygčių, valdomų p-semimartingalų, aproksimacijos asimptotinį elgesį
Santrauka. Nagrinėjamas Milšteino tipo aproksimacijos konvergavimo greitis į integralinės lygties, valdomos specialaus tolydaus p‐semimartingalo, sprendinį. Įrodyta, kad nagrinėjamas stiprios Milšteino tipo aproksimacijos konvergavimo greitis yra artimas difuzinės lygties stiprios Eulerio‐Peano aproksimacijos konvergavimo greičiui.
Kubilius, K. (2002). On the asymptotic behavior of an approximation of SIEs driven by p‐semimartingales. Mathematical Modelling and Analysis, 7(1), 103-116. https://doi.org/10.3846/13926292.2002.9637183
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