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Showing 2020 · math.PRShow all
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math.PR2020★ 4 cited
Diffusion approximation for fully coupled stochastic differential equations
Michael Röckner, Longjie Xie
We consider a Poisson equation in for the elliptic operator corresponding to an ergodic diffusion process. Optimal regularity and smoothness with respect to the param…
math.PR2020★ 1 cited
Euler scheme for density dependent stochastic differential equations
Zimo Hao, Michael Röckner, Xicheng Zhang
In this paper we show the existence and uniqueness for a class of density dependent SDEs with bounded measurable drift, where the existence part is based on Euler's approximation f…
math.PR2020
Asymptotic behaviour and functional limit theorems for a time changed Wiener process
Yuri Kondratiev, Yuliya Mishura, René L. Schilling
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a…