Discrete approximation of stochastic differential equations

被引：0
作者：
Kruse R. [1 ]
机构：
[1] Department of Mathematics, Bielefeld University, P.O. Box 100131, Bielefeld
来源：
SeMA Journal | 2010年 / 51卷 / 1期
关键词：
65C20; 65C30; 65J15; 65L20; 65L70; bistability; discrete approximation; Itô-Taylor schemes; SODE; stochastic differential equations; stochastic Spijker norm; two-sided error estimates;
D O I：
10.1007/BF03322558
中图分类号：
学科分类号：
摘要：
It is shown how stochastic Itô-Taylor schemes for stochastic ordinary differential equations can be embedded into standard concepts of consistency, stability and convergence. An appropriate choice of function spaces and norms, in particular a stochastic generalization of Spijker’s norm (1968), leads to two-sided estimates for the strong error of convergence under the usual assumptions. © 2010, Sociedad Española de Matemática Aplicada.
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页码：83 / 90
页数：7
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