论文信息 - Stability of weak numerical schemes for stochastic differential equations

Stability of weak numerical schemes for stochastic differential equations

Abstract This paper considers numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For different explicit and implicit schemes, the regions of stability are also examined.

Eckhard Platen | E. Platen | N. Hofmann | Norbert Hofmann

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