Stochastically stable one-step approximations of solutions of stochastic ordinary differential equations (Q1861961): Difference between revisions

A theorem is proved giving conditions determining the order of strong convergence of approximations (arising from a one-step numerical method) to the solution of the Itô vector stochastic differential equation \[ dX(t)= a\bigl(t,X(t) \bigr)dt+ \sum^m_{j=1}b_j \bigl(t,X(t) \bigr)dW_j(t) \] where \(W_j\), \(i=1, \dots, m\), are independent Wiener processes. Next, a theorem is proved providing conditions under which such numerical approximations are stochastically numerically stable. These two theorems are then applied to find the order of strong convergence and establish the stochastic numerical stability of ten well known numerical methods for solving stochastic differential equations.