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Euler scheme for solutions of a countable system of stochastic differential equations

✍ Scribed by Jaime San Martı́n; Soledad Torres

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
111 KB
Volume
54
Category
Article
ISSN
0167-7152

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✦ Synopsis

We consider a countable system of stochastic di erential equation. Euler scheme for approximating these solutions is used, and the global error is estimated. Solutions are approximated by means of a process which takes values in a ÿnite dimensional space. Finally, we expand the global error for a class of smooth functions in powers of the discretization step size.

📜 SIMILAR VOLUMES

Stability of weak numerical schemes for
Stability of weak numerical schemes for stochastic differential equations
✍ Norbert Hofmann 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 310 KB

We consider numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For explicit and implicit Euler