Convergence Implications via Dual Flow Method

Takafumi Amaba; Dai Taguchi; Go Yuki

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arXiv · 1508.07399

Convergence Implications via Dual Flow Method

Takafumi Amaba·Dai Taguchi·Go Yuki

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Abstract

Given a one-dimensional stochastic differential equation, one can associate to this equation a stochastic flow on $[0,+\infty )$, which has an absorbing barrier at zero. Then one can define its dual stochastic flow. In \cite{AW}, Akahori and Watanabe showed that its one-point motion solves a corresponding stochastic differential equation of Skorokhod-type. In this paper, we consider a discrete-time stochastic-flow which approximates the original stochastic flow. We show that under some assumptions, one-point motions of its dual flow also approximates the corresponding reflecting diffusion. We investigate the relation between them in weak and strong approximation sense.

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Takafumi Amaba, Dai Taguchi, Go Yuki. 2015-08-29. Convergence Implications via Dual Flow Method. https://arxiv.org/abs/1508.07399

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