A weak local linearization scheme for stochastic differential equations with multiplicative noise

DOI10.1016/j.cam.2016.09.013zbMath1353.65007arXiv1506.05708MaRDI QIDQ344263

Mohammad Hasan, M. Dambrine

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05708

zbMATH Keywords

stochastic differential equation; weak convergence; numerical simulations; mean-square stability; local linearization scheme

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations