On the MS-stability of predictor-corrector schemes for stochastic differential equations

DOI10.1016/J.MATCOM.2020.09.004MaRDI QIDQ1998273OpenAlexWikidataFDO

Authors Yanyan Li

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.09.004

zbMATH Keywords

multiplicative noisemean-square stabilitypredictor-corrector schemesstochastic scheme

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

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• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• The pricing of options and corporate liabilities
• \(A\)-stability and stochastic mean-square stability

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