✦ LIBER ✦

The Euler scheme for Hilbert space valued stochastic differential equations

✍ Scribed by Raúl Fierro; Soledad Torres

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 93 KB
Volume: 51
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00118-8

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✦ Synopsis

Here we consider stochastic di erential equations whose solutions take values in a Hilbert space. The Euler Scheme for approximating these solutions is used, and the global error is estimated. In addition, solutions are approximated by means of a process which takes values in a ÿnite-dimensional subspace.

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