A Lax equivalence theorem for stochastic differential equations
نویسنده
چکیده
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 made assumptions are met by standard approximations.
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عنوان ژورنال:
- J. Computational Applied Mathematics
دوره 234 شماره
صفحات -
تاریخ انتشار 2010