Splitting for some classes of homeomorphic and coalescing stochastic flows
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2023
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| Acceso en línea: | |
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| _version_ | 1866917608077393920 |
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| author | Vovchanskyi, M. B. |
| author_facet | Vovchanskyi, M. B. |
| contents | The splitting scheme (the Kato-Trotter formula) is applied to stochastic flows with common noise of the type introduced by Th.E.~Harris. The case of possibly coalescing flows with continuous infinitesimal covariance is considered and the weak convergence of the corresponding finite-dimensional motions is established. As applications, results for the convergence of the associated pushforward measures and dual flows are given. Similarities between splitting and the Euler-Maruyama scheme yield estimates of the speed of the convergence under additional regularity assumptions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2311_06439 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Splitting for some classes of homeomorphic and coalescing stochastic flows Vovchanskyi, M. B. Probability The splitting scheme (the Kato-Trotter formula) is applied to stochastic flows with common noise of the type introduced by Th.E.~Harris. The case of possibly coalescing flows with continuous infinitesimal covariance is considered and the weak convergence of the corresponding finite-dimensional motions is established. As applications, results for the convergence of the associated pushforward measures and dual flows are given. Similarities between splitting and the Euler-Maruyama scheme yield estimates of the speed of the convergence under additional regularity assumptions. |
| title | Splitting for some classes of homeomorphic and coalescing stochastic flows |
| topic | Probability |
| url | https://arxiv.org/abs/2311.06439 |