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On Strong Consistency for One-Step Approximations of Stochastic Ordinary Differential Equations

In: Proceedings of the Conference on Applied Mathematics and Scientific Computing

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  • Rózsa Horváth Bokor

    (University of Veszprém, Department of Mathematics and Computing)

Abstract

In numerical approximation for stochastic ordinary differential equations (SODEs) the main concepts such as relationship between local errors and strong consistency are considered. The main result that consistency conditions given in [P. Kloeden and E. Platen, Numerical Solution of Stochastic Ordinary Differential Equations, Springer-Verlag, 1992] and local errors are equivalent under appropriate conditions.

Suggested Citation

  • Rózsa Horváth Bokor, 2005. "On Strong Consistency for One-Step Approximations of Stochastic Ordinary Differential Equations," Springer Books, in: Zlatko Drmač & Miljenko Marušić & Zvonimir Tutek (ed.), Proceedings of the Conference on Applied Mathematics and Scientific Computing, pages 197-205, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4020-3197-7_13
    DOI: 10.1007/1-4020-3197-1_13
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