Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations

DOI10.1016/j.camwa.2010.06.011zbMath1201.65010OpenAlexW2086468288MaRDI QIDQ611462

Lei Zhang, Qiang Ma, Xiao-Hua Ding

Publication date: 14 December 2010

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.06.011

zbMATH Keywords

stochastic differential equationsmean-square convergencemean-square stabilitysplit-step \(\theta \)-method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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