A Lax equivalence theorem for stochastic differential equations (Q989145): Difference between revisions

Consistency, numerical stability, and convergence are defined in the mean square sense for numerical methods for approximating solutions of a class of stochastic partial differential equations. It is then proved that a consistent method is convergent if and only if it is stable. An example is given in which this result is applied to Euler-Maruyama and to Milstein method approximations of a stochastic heat equation with multiplicative noise.