Convergence of schemes for stochastic differential equations
✍ Scribed by Gérard Fleury
- Book ID
- 108252239
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 157 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0266-8920
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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
Using some exponential variables in the time discretization of some reflected stochastic differential equations yields the same rate of convergence as in the usual Euler-Maruyama scheme. L'utilisation ~ chaque pas d'une nouvelle variable exponentielle ind6pendante des accroissements browniens perme