Consistency and asymptotic normality of stochastic Euler schemes for ordinary differential equations

DOI10.1016/J.SPL.2017.01.016MaRDI QIDQ2407757zbMATH OpenOpenAlexFDO

Authors Johannes T. N. Krebs

Publication date 6 October 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.06880

zbMATH Keywords

asymptotic normalityconsistencyordinary differential equationsrate of convergencestochastic Euler schemes

Mathematics Subject Classification ID

Strong limit theorems (60F15) (L^p)-limit theorems (60F25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: General stochastic Euler schemes for ordinary differential equations are studied. We give proofs on the consistency, the rate of convergence and the asymptotic normality of these procedures.

Cites work

• A stochastic scheme of approximation for ordinary differential equations
• Asymptotic Statistics
• The Euler scheme for Hilbert space valued stochastic differential equations

Cited in

(3)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Numerical simulation of a linear stochastic oscillator with additive noise
• Two variants of a stochastic Euler method for homogeneous balance differential equations *

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