Stability of weak numerical schemes for stochastic differential equations

DOI10.1016/0378-4754(93)E0067-FzbMath0824.60058OpenAlexW2039769019MaRDI QIDQ5917688

Norbert Hofmann

Publication date: 31 October 1995

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

Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0067-f

zbMATH Keywords

stochastic differential equationsnumerical stabilityregions of stabilityimplicit Euler schemesconvergence of weak schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

STRONG CONVERGENCE IN Lp OF MILSTEIN METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps ⋮ Solving the random Legendre differential equation: mean square power series solution and its statistical functions

Uses Software

• RODAS

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
• Option Pricing Under Incompleteness and Stochastic Volatility
• A special stability problem for linear multistep methods
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Stability of weak numerical schemes for stochastic differential equations

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