On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (Q5746752): Difference between revisions

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Latest revision as of 07:54, 7 July 2024

scientific article; zbMATH DE number 6256468
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English
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
scientific article; zbMATH DE number 6256468

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    On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (English)
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    8 February 2014
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    stochastic differential equations
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    scenario simulation
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    Monte Carlo simulation
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    numerical stability
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    predictor-corrector methods
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    implicit methods
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