On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

DOI10.1080/14697688.2012.713981zbMath1280.91193OpenAlexW2099672775MaRDI QIDQ5746752

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

zbMATH Keywords

stochastic differential equationsMonte Carlo simulationnumerical stabilitypredictor-corrector methodsimplicit methodsscenario simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

On the MS-stability of predictor-corrector schemes for stochastic differential equations ⋮ Convergence and asymptotic stability of an explicit numerical method for non-autonomous stochastic differential equations

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