On the numerical stability of simulation methods for SDEs under multiplicative noise in finance (Q5746752): Difference between revisions
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Revision as of 23:15, 19 March 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)
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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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