The Euler scheme for Hilbert space valued stochastic differential equations

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.

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Year of publication:	2001
Authors:	Fierro, Raúl ; Torres, Soledad
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 3, p. 207-213
Publisher:	Elsevier
Keywords:	Infinite-dimensional stochastic differential equations Numerical scheme

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211941