Henri Schurz
Department of Mathematics, Southern Illinois University
An Axiomatic Approach to Numerical Approximation of
Stochastic
Processes
Abstract
An axiomatic approach to the numerical approximation of stochastic
processes X,Y with values on separable Hilbert spaces H is presented.
The processes X and Y can be interpreted as flows of stochastic
differential and difference equations, respectively. The main result of
this talk deals with an extension of the well-known deterministic
principles of Kantorovich-Lax-Richtmeyer to approximate solutions of
differential initial value problems to the stochastic case. The
concepts of invariance, smoothness of martingale parts, consistency,
stability, and contractivity of stochastic processes are uniquely
combined to derive efficient convergence rates on finite and infinite
time-intervals. The applicability of our results is explained with the
case of ordinary stochastic differential equations and drift-implicit
Euler methods (i.e. backward Euler in drift term) driven by standard
multi-dimensional Wiener processes on Euclidean spaces H = Rd
and invariant subsets D.
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