General theorems for numerical approximation of stochastic processes on the Hilbert space H2([0,T],μ,Rd)

被引：0

作者：

Schurz, H ^{[1
]}

机构：

[1] So Illinois Univ, Dept Math, Carbondale, IL 62901 USA

来源：

ELECTRONIC TRANSACTIONS ON NUMERICAL ANALYSIS | 2003年 / 16卷

关键词：

stochastic-numerical approximation; stochastic Lax-Theorem; ordinary stochastic differential equations; numerical methods; drift-implicit Euler methods; balanced implicit methods;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

General theorems for the numerical approximation on the separable Hilbert space H-2([0,T],mu,R-d) of cadlag, (F-t)-adapted stochastic processes with mu-integrable second moments is presented for nonrandom intervals [0,T] and positive measure mu. The use of the theorems is illustrated by the special case of systems of ordinary stochastic differential equations (SDEs) and their numerical approximation given by the drift-implicit Euler method under one-sided Lipschitz-type conditions.

引用

页码：50 / 69

页数：20

共 45 条

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