Numerical approximation of stochastic differential equations

Abstract

The present work is concerned with the numerical approximation of stochastic differential equations. Comparing with the piecewise constant approximation of standard Wiener process noise,we define an abstract formulation of the infinite dimensional noise. Finite element method is applied to the differential equations with such defined noise,and some convergence result is obtained.

Date of Award	2000
Original language	English
Awarding Institution	The Hong Kong University of Science and Technology