SOME ISSUES IN DISCRETE APPROXIMATE SOLUTION FOR STOCHASTIC DIFFERENTIAL-EQUATIONS

An evaluation method for numerical schemes of stochastic differential equations is treated. Discussing the source of errors in the discrete numerical solution, we highlight the effect of pseudo-random numbers u pon the numerical solution, and point out the significance of the inde pendencies of the series of them required in the numerical schemes. To discriminate the stochastic and deterministic parts in the errors mor e clearly, we propose a new two-dimensional linear test equation of mu ltiplicative type whose analytical solution can be obtained readily. O ur results are illustrated through some numerical examples.