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.
Supported by Hungarian National Scientific Foundation Grant (OTKA) T031935 and by Ministry of Science and Technology, Croatia Grant 0037114.
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References
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P. E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, New York, 1992.
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Bokor, R.H. (2005). On Strong Consistency for One-Step Approximations of Stochastic Ordinary Differential Equations. In: Drmač, Z., Marušić, M., Tutek, Z. (eds) Proceedings of the Conference on Applied Mathematics and Scientific Computing. Springer, Dordrecht. https://doi.org/10.1007/1-4020-3197-1_13
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DOI: https://doi.org/10.1007/1-4020-3197-1_13
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