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[formula omitted]-convergence of Picard’s successive approximations to solutions of stochastic differential equations.
- Source :
-
Statistics & Probability Letters . Oct2017, Vol. 129, p203-209. 7p. - Publication Year :
- 2017
-
Abstract
- In this paper, we prove that for a stochastic differential equation with the coefficients of class C ∞ , the successive approximations of Picard converge in the C ∞ -sense, which implies that the solution to stochastic differential equation is of class C ∞ in the initial value x almost surely. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 129
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 124721354
- Full Text :
- https://doi.org/10.1016/j.spl.2017.05.016