The Euler scheme for Hilbert space valued stochastic differential equations (Q5934102)
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scientific article; zbMATH DE number 1605920
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| English | The Euler scheme for Hilbert space valued stochastic differential equations |
scientific article; zbMATH DE number 1605920 |
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The Euler scheme for Hilbert space valued stochastic differential equations (English)
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3 February 2002
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The solution of a stochastic differential equation with Lipschitz coefficients driven by a Hilbert space-valued Wiener process is approximated by means of the Euler scheme. If the time interval is discretized with \(n\) points, then the global mean square error is estimated by \(C/n\). Moreover, finite-dimensional (Galerkin type) approximation is considered.
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infinite-dimensional stochastic differential equation
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numerical scheme
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0.8329268097877502
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0.8267778158187866
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0.8135853409767151
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0.8113325834274292
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