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

DOI10.1080/14697688.2012.713981MaRDI QIDQ5746752zbMATHOpenAlexFDO

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

zbMATH Keywords

Monte Carlo simulationnumerical stabilitystochastic differential equationspredictor-corrector methodsimplicit methodsscenario simulation

Mathematics Subject Classification ID

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

Recommendations

• Stability of weak numerical schemes for stochastic differential equations
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Stability of weak numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 956579
• An adaptive Euler-Maruyama scheme for SDEs: convergence and stability

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations
• A note on the balanced method
• Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations
• An Introduction to Financial Option Valuation
• Balanced Implicit Methods for Stiff Stochastic Systems
• Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• On weak implicit and predictor-corrector methods
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Simulation of stochastic differential equations
• Solving ordinary differential equations. II: Stiff and differential-algebraic problems.
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations
• \(A\)-stability of Runge-Kutta methods for systems with additive noise

Cited in

(4)

• 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
• On the MS-stability of predictor-corrector schemes for stochastic differential equations
• scientific article; zbMATH DE number 5910754 (Why is no real title available?)

This page was built for publication: On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5746752)