Numerical Analysis of equivariant evolution equations
09-051 Raphael Kruse.
Discrete approximation of stochastic differential equations
It is shown how stochastic Itô-Taylor
schemes for stochastic ordinary differential equations can be embedded
into standard concepts of consistency, stability and convergence. An
appropriate choice of function spaces and norms, in particular a
stochastic generalization of Spijker's norm (1968), leads to two-sided
estimates for the strong error of convergence under the usual assumptions.
