A Lax equivalence theorem for stochastic differential equations

• In this paper, a stochastic mean square version of Lax's equivalence theorem for Hilbert space valued stochastic differential equations with additive and multiplicative noise is proved. Definitions for consistency, stability, and convergence in mean square of an approximation of a stochastic differential equation are given and it is shown that these notions imply similar results as those known for approximations of deterministic partial differential equations. Examples show that the assumptions made are met by standard approximations. © 2010 Elsevier B.V. All rights reserved.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Beräkningsmatematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Computational Mathematics (hsv//eng)

Nyckelord

Consistency

Convergence

Lax equivalence theorem

Numerical approximation

Stability

Stochastic partial differential equations

Stability

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