Splitting for some classes of homeomorphic and coalescing stochastic flows
Probability
2024-03-11 v2
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.
Keywords
Cite
@article{arxiv.2311.06439,
title = {Splitting for some classes of homeomorphic and coalescing stochastic flows},
author = {M. B. Vovchanskyi},
journal= {arXiv preprint arXiv:2311.06439},
year = {2024}
}