Euler scheme for solutions of a countable system of stochastic differential equations

DOI10.1016/S0167-7152(01)00050-5MaRDI QIDQ5953977zbMATH OpenOpenAlexFDO

Authors Jaime San Martín, Soledad Torres

Publication date 21 April 2002

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

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00050-5

zbMATH Keywords

countable system of stochastic differential equationsEuler schemestrong and weak convergence

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)

Review text

The authors consider a countable system of stochastic differential equations NEWLINE\[NEWLINEX(t) = X(0) + \int_0^t a(s,X(s)) ds + \int_0^t b(s,X(s)) dW(s),NEWLINE\]NEWLINE or equivalently NEWLINE\[NEWLINEx_i(t) = x_i(0) + \int_0^t a_i(s,X(s)) ds + \sum_{j=1}^m \int_0^t b_i^j(s,X(s)) dW_i^j(s),NEWLINE\]NEWLINE where for \(S\) a countable set, \(X(t)=(x_i(t))_{i\in S}\) is a stochastic process in \(({\mathbb R}^d)^S\). A suitable function space with a weighted norm is introduced. They define a countable Euler approximation and prove the following results. The countable Euler scheme converges in mean-square (with respect to the weighted norm) to the solution of the countable system of stochastic differential equations. They then define a truncated and thus finite-dimensional Euler scheme and show that this converges to the solution of the countable Euler scheme in mean-square. Finally they prove convergence in the sense of weak approximations of the countable Euler scheme to the solution of the countable system of stochastic differential equations.

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Cites work

• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• Expansion of the global error for numerical schemes solving stochastic differential equations
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Cited in

(4)

• The Euler scheme with irregular coefficients
• Euler Scheme for a Stochastic Goursat Problem
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

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