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The Euler scheme for Hilbert space valued stochastic differential equations

Author

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  • Fierro, Raúl
  • Torres, Soledad

Abstract

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.

Suggested Citation

  • Fierro, Raúl & Torres, Soledad, 2001. "The Euler scheme for Hilbert space valued stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 51(3), pages 207-213, February.
    • Handle: RePEc:eee:stapro:v:51:y:2001:i:3:p:207-213
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    Cited by:

    1. Krebs, Johannes T.N., 2017. "Consistency and asymptotic normality of stochastic Euler schemes for ordinary differential equations," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 1-8.

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