Preprint des Projektes: SFB 701: Spektrale Strukturen und Topologische Methoden in der Mathematik - Projekt B3

Numerische Analyse äquivarianter Evolutionsgleichungen

09-034 Wolf-Jürgen Beyn, Raphael Kruse.
Two-Sided Error Estimates for the Stochastic Theta Method

Two-sided error estimates are derived for the strong error of convergence of the stochastic theta method. The main result is based on two ingredients. The first one shows how the theory of convergence can be embedded into standard concepts of consistency, stability and convergence by an appropriate choice of norms and function spaces. The second one is a suitable stochastic generalization of Spijker's norm (1968) that is known to lead to two-sided error estimates for deterministic one-step methods. We show that the stochastic theta method is bistable with respect to this norm and that well-known results on the optimal O(√h) order of convergence follow from this property in a natural way.