Some issues in discrete approximate solution for stochastic differential equations (Q1339295)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Some issues in discrete approximate solution for stochastic differential equations |
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Some issues in discrete approximate solution for stochastic differential equations (English)
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1 December 1994
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The paper investigates the stability of numerical solutions of stochastic differential equations. A two-dimensional linear test equation with multiplicative noise is suggested for the study of numerical stability of a given numerical scheme.
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convergence
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stability
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stochastic differential equations
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test equation
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