Splitting for some classes of homeomorphic and coalescing stochastic flows

M. B. Vovchanskyi

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arXiv · 2311.06439

Splitting for some classes of homeomorphic and coalescing stochastic flows

M. B. Vovchanskyi

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Abstract

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.

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M. B. Vovchanskyi. 2023-11-11. Splitting for some classes of homeomorphic and coalescing stochastic flows. https://arxiv.org/abs/2311.06439

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