On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
DOI10.1080/14697688.2012.713981zbMATH Open1280.91193OpenAlexW2099672775MaRDI QIDQ5746752FDOQ5746752
Authors: Eckhard Platen, Lei Shi 
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/26038
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Cites Work
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- Higher-order implicit strong numerical schemes for stochastic differential equations
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- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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- A note on the balanced method
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Simulation of stochastic differential equations
- A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
- An Introduction to Financial Option Valuation
- Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- On weak implicit and predictor-corrector methods
- Stability of weak numerical schemes for stochastic differential equations
- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
Cited In (4)
- On the MS-stability of predictor-corrector schemes for stochastic differential equations
- Title not available (Why is that?)
- Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
- Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations
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