Approximation von stochastischen Differentialgleichungen auf Digital- und Hybridrechnern

Continuous dynamical systems which are subject to random disturbances can often be represented by stochastic differential equations of the Itô-type. We discuss methods how to approximate the solution of such equations on digital and hybrid computers. The digital methods are stochastic versions of some simple deterministic methods. We give convergence theorems which show that stochastic methods differ in principle from their corresponding deterministic methods.