Diffusion approximation for hyperbolic stochastic differential equations

Carme Florit and David Nualart

Stochastic Processes and their Applications, 1996, vol. 65, issue 1, 1-15

Abstract: In this paper we show an approximation diffusion theorem for a stochastic integral equation on the plane driven by a two-parameter Wiener process. This result is obtained by means of the martingale problem approach for two-parameter processes.

Keywords: 60H15; 60G60; Two-parameter; Wiener; process; Martingale; problem; Hyperbolic; stochastic; partial; differential; equations; Diffusion; approximations (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (2)

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