The Euler scheme for Hilbert space valued stochastic differential equations

Raúl Fierro and Soledad Torres

Statistics & Probability Letters, 2001, vol. 51, issue 3, 207-213

Abstract: Here we consider stochastic differential equations whose solutions take values in a Hilbert space. The Euler Scheme for approximating these solutions is used, and the global error is estimated. In addition, solutions are approximated by means of a process which takes values in a finite-dimensional subspace.

Keywords: Infinite-dimensional; stochastic; differential; equations; Numerical; scheme (search for similar items in EconPapers)
Date: 2001
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