Convergence rate of strong approximations of compound random maps

Abstract : We consider a random map x → F (ω, x) and a random variable Θ(ω), and we denote by F^N (ω, x) and Θ^N (ω) their approximations: We establish a strong convergence result, in Lp-norms, of the compound approximation F^N (ω, Θ^N (ω)) to the compound variable F (ω, Θ(ω)), in terms of the approximations of F and Θ. We then apply this result to the composition of two Stochastic Differential Equations through their initial conditions, which can give a way to solve some Stochastic Partial Differential Equations.
Type de document :
Pré-publication, Document de travail
2016
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https://hal.archives-ouvertes.fr/hal-01141320
Contributeur : Emmanuel Gobet <>
Soumis le : mercredi 27 avril 2016 - 22:57:10
Dernière modification le : samedi 18 février 2017 - 01:20:11

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  • HAL Id : hal-01141320, version 2

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Emmanuel Gobet, Mohamed Mrad. Convergence rate of strong approximations of compound random maps. 2016. <hal-01141320v2>

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