Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4640042 | Journal of Computational and Applied Mathematics | 2010 | 10 Pages |
Abstract
In this paper, a stochastic mean square version of Lax’s equivalence theorem for Hilbert space valued stochastic differential equations with additive and multiplicative noise is proved. Definitions for consistency, stability, and convergence in mean square of an approximation of a stochastic differential equation are given and it is shown that these notions imply similar results as those known for approximations of deterministic partial differential equations. Examples show that the assumptions made are met by standard approximations.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Annika Lang,