Journal article
A Generalization Of Mil’Shtein’s Theorem For Stochastic Differential Equations
Year:
2009Published in:
Theory of Probability and Mathematical StatisticsStochastic 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.