Diffusion approximation for hyperbolic stochastic differential equations

In this paper we show an approximation diffusion theorem for a stochastic integral equation on the plane driven by a two-parameter Wiener process. This result is obtained by means of the martingale problem approach for two-parameter processes.

MoreLess

Year of publication:	1996
Authors:	Florit, Carme ; Nualart, David
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 65.1996, 1, p. 1-15
Publisher:	Elsevier
Keywords:	60H15 60G60 Two-parameter Wiener process Martingale problem Hyperbolic stochastic partial differential equations Diffusion approximations

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875028