Rate of convergence of discrete approximate solutions of stochastic differential equations in a Hilbert space

MaRDI QIDQ5488437zbMATH OpenFDO

Authors G. M. Shevchenko

Publication date 19 September 2006

Full work available at URL http://www.ams.org/tpms/2004-69-00/S0094-9000-05-00625-3/home.html

zbMATH Keywords

Itô-Volterra equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cited in

(9)

• Approximation Schemes for Stochastic Differential Equations in Hilbert Space
• The Euler scheme for Hilbert space valued stochastic differential equations
• Rate of convergence of space time approximations for stochastic evolution equations
• Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
• Convergence with rates for a time-discretization of the Stochastic Landau-Lifschitz-Gilbert equation
• Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach
• Convergence of discretized stochastic (interest rate) processes with stochastic drift term
• An axiomatic approach to numerical approximations of stochastic processes
• On the convergence of global rational approximants for stochastic discrete event systems

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