The Euler scheme for Hilbert space valued stochastic differential equations

DOI10.1016/S0167-7152(00)00118-8zbMath0979.60043OpenAlexW2017973383MaRDI QIDQ5934102

Soledad Torres, Raúl Fierro

Publication date: 3 February 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00118-8

zbMATH Keywords

infinite-dimensional stochastic differential equationnumerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Consistency and asymptotic normality of stochastic Euler schemes for ordinary differential equations

Cites Work

• Infinite dimensional stochastic differential equations and their applications
• Time-discretised Galerkin approximations of parabolic stochastic PDE's
• Expansion of the global error for numerical schemes solving stochastic differential equations
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