On the possibility of defining the Chapman–Kolmogorov semi-group on L∞

1979 ◽  
Vol 83 (3-4) ◽  
pp. 327-331
Author(s):  
Allen Devinatz ◽  
Paul Malliavin
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Equivalence Classes ◽  
Matrix Coefficient ◽  
Semi Group ◽  
Diffusion Matrix ◽  
Measurable Functions ◽  
Do So

SynopsisIf the diffusion matrix coefficient of an Itô stochastic differential equation is everywhere non-singular, then the corresponding Chapman-Kolmogorov semi-group may be defined on L∼(Rn), the space of Lebesgue equivalence classes of essentially bounded Borei measurable functions. However, if the diffusion matrix is singular at some points of Rn, it is not clear that this can always be done. We show that in certain situations it is possible to do so.

scholarly journals Toward a Wong–Zakai Approximation for Big Order Generators

Symmetry ◽  
2020 ◽  
Vol 12 (11) ◽  
pp. 1893
Author(s):  
Rémi Léandre
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Parabolic Equation ◽  
Stochastic Differential Equation ◽  
Finite Energy ◽  
Higher Order ◽  
Semi Group

We give a new approximation with respect of the traditional parametrix method of the solution of a parabolic equation whose generator is of big order and under the Hoermander form. This generalizes to a higher order generator the traditional approximation of Stratonovitch diffusion which put in relation random ordinary differential equation (the leading process is random and of finite energy. When a trajectory of it is chosen, the solution of the equation is defined) and stochastic differential equation (the leading process is random and only continuous and we cannot choose a path in the solution which is only almost surely defined). We consider simple operators where the computations can be fully performed. This approximation fits with the semi-group only and not for the full path measure in the case of a stochastic differential equation.

On Approximate Large Deviations for 1D Diffusion

2003 ◽  
Vol 10 (2) ◽  
pp. 381-399
Author(s):  
A. Yu. Veretennikov
Keyword(s):  
Differential Equation ◽  
Exact Solution ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Approximation Scheme ◽  
Sufficient Conditions ◽  
Rate Function ◽  
Euler Approximation ◽  
One Dimensional

Abstract We establish sufficient conditions under which the rate function for the Euler approximation scheme for a solution of a one-dimensional stochastic differential equation on the torus is close to that for an exact solution of this equation.

On a Singular Two-Point Boundary Value Problem for the Nonlinear mth-Order Differential Equation with Deviating Arguments

1997 ◽  
Vol 4 (6) ◽  
pp. 557-566
Author(s):  
B. Půža
Keyword(s):  
Differential Equation ◽  
Boundary Value Problem ◽  
Vector Function ◽  
Unique Solvability ◽  
Order Differential Equation ◽  
Boundary Value ◽  
Sufficient Conditions ◽  
Point Boundary ◽  
Deviating Arguments ◽  
Measurable Functions

Abstract Sufficient conditions of solvability and unique solvability of the boundary value problem u (m)(t) = f(t, u(τ 11(t)), . . . , u(τ 1k (t)), . . . , u (m–1)(τ m1(t)), . . . . . . , u (m–1)(τ mk (t))), u(t) = 0, for t ∉ [a, b], u (i–1)(a) = 0 (i = 1, . . . , m – 1), u (m–1)(b) = 0, are established, where τ ij : [a, b] → R (i = 1, . . . , m; j = 1, . . . , k) are measurable functions and the vector function f : ]a, b[×Rkmn → Rn is measurable in the first and continuous in the last kmn arguments; moreover, this function may have nonintegrable singularities with respect to the first argument.

Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion

2020 ◽  
Vol 28 (3) ◽  
pp. 183-196
Author(s):  
Kouacou Tanoh ◽  
Modeste N’zi ◽  
Armel Fabrice Yodé
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Maximum Likelihood ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Bayes Estimator ◽  
Likelihood Estimator

AbstractWe are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.

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