Two-Sided Error Estimates for the Stochastic Theta Method

Beyn W-J, Kruse R (2010)
Discrete and Continuous Dynamical Systems -Series B 14(2): 389-407.

Journal Article | Published | English

No fulltext has been uploaded

Author
;
Abstract
Two-sided error estimates are derived for the strong error of convergence of the stochastic theta method. The main result is based on two ingredients. The first one shows how the theory of convergence can be embedded into standard concepts of consistency, stability and convergence by an appropriate choice of norms and function spaces. The second one is a suitable stochastic generalization of Spijker's norm (1968) that is known to lead to two-sided error estimates for deterministic one-step methods. We show that the stochastic theta method is bistable with respect to this norm and that well-known results on the optimal O(root h) order of convergence follow from this property in a natural way.
Publishing Year
ISSN
PUB-ID

Cite this

Beyn W-J, Kruse R. Two-Sided Error Estimates for the Stochastic Theta Method. Discrete and Continuous Dynamical Systems -Series B. 2010;14(2):389-407.
Beyn, W. - J., & Kruse, R. (2010). Two-Sided Error Estimates for the Stochastic Theta Method. Discrete and Continuous Dynamical Systems -Series B, 14(2), 389-407.
Beyn, W. - J., and Kruse, R. (2010). Two-Sided Error Estimates for the Stochastic Theta Method. Discrete and Continuous Dynamical Systems -Series B 14, 389-407.
Beyn, W.-J., & Kruse, R., 2010. Two-Sided Error Estimates for the Stochastic Theta Method. Discrete and Continuous Dynamical Systems -Series B, 14(2), p 389-407.
W.-J. Beyn and R. Kruse, “Two-Sided Error Estimates for the Stochastic Theta Method”, Discrete and Continuous Dynamical Systems -Series B, vol. 14, 2010, pp. 389-407.
Beyn, W.-J., Kruse, R.: Two-Sided Error Estimates for the Stochastic Theta Method. Discrete and Continuous Dynamical Systems -Series B. 14, 389-407 (2010).
Beyn, Wolf-Jürgen, and Kruse, Raphael. “Two-Sided Error Estimates for the Stochastic Theta Method”. Discrete and Continuous Dynamical Systems -Series B 14.2 (2010): 389-407.
This data publication is cited in the following publications:
This publication cites the following data publications:

Export

0 Marked Publications

Open Data PUB

Web of Science

View record in Web of Science®

Search this title in

Google Scholar