We consider numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For explicit and implicit Euler
Analysis of stochastic numerical schemes for the evolution equations of geophysics
✍ Scribed by B.D. Ewald; R. Témam
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 427 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0893-9659
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