A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise (Q4976104)

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scientific article; zbMATH DE number 6754161
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A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise
scientific article; zbMATH DE number 6754161

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    A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise (English)
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    27 July 2017
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    stochastic differential equation
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    stable numerical scheme
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    weak error
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    mean-square convergence
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    convergence rate
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    bilinearity
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    unstable equilibrium point
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    local Lipschitz condition
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