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

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W2099672775 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the balanced method / rank
 
Normal rank
Property / cites work
 
Property / cites work: STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Solving Ordinary Differential Equations II / rank
 
Normal rank
Property / cites work
 
Property / cites work: \(A\)-stability of Runge-Kutta methods for systems with additive noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Introduction to Financial Option Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical methods for nonlinear stochastic differential equations with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Square and Asymptotic Stability of the Stochastic Theta Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability of weak numerical schemes for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Integration of Multiplicative-Noise Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Higher-order implicit strong numerical schemes for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Balanced Implicit Methods for Stiff Stochastic Systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: On weak implicit and predictor-corrector methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation of stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations / rank
 
Normal rank

Latest revision as of 08:54, 7 July 2024

scientific article; zbMATH DE number 6256468
Language Label Description Also known as
English
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
scientific article; zbMATH DE number 6256468

    Statements

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