A Lax equivalence theorem for stochastic differential equations (Q989145)

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A Lax equivalence theorem for stochastic differential equations
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    A Lax equivalence theorem for stochastic differential equations (English)
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    27 August 2010
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    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.
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    stochastic partial differential equations
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    Lax equivalence theorem
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    numerical approximation
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    consistency
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    stability
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    convergence
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