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

@@ Property / cites work @@
+A note on the balanced method
@@ Property / cites work: A note on the balanced method / rank @@
+Normal rank
@@ Property / cites work @@
+STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Ordinary Differential Equations II
@@ Property / cites work: Solving Ordinary Differential Equations II / rank @@
+Normal rank
@@ Property / cites work @@
+\(A\)-stability of Runge-Kutta methods for systems with additive noise
+Normal rank
@@ Property / cites work @@
+Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
+Normal rank
@@ Property / cites work @@
+An Introduction to Financial Option Valuation
@@ Property / cites work: An Introduction to Financial Option Valuation / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for nonlinear stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean-Square and Asymptotic Stability of the Stochastic Theta Method
+Normal rank
@@ Property / cites work @@
+Stability of weak numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Balanced Implicit Methods for Stiff Stochastic Systems
+Normal rank
@@ Property / cites work @@
+On weak implicit and predictor-corrector methods
@@ Property / cites work: On weak implicit and predictor-corrector methods / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation of stochastic differential equations
@@ Property / cites work: Simulation of stochastic differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Stability Analysis of Numerical Schemes for Stochastic Differential Equations
+Normal rank