Journal article

A Generalization Of Mil’Shtein’s Theorem For Stochastic Differential Equations

Year:

2009

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Stochastic differential equation

semilinear stochastic evolution equation

time discretization

Mil’shtein theorem

A theorem on a relationship between local and global rates of convergence for a stochastic differential equation is proved in the paper. This theorem implies the convergence of Euler type approximations for semilinear evolution equations with a coercive operator in a Hilbert space.

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