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Expansion of the global error for numerical schemes solving stochastic differential equations

✍ Scribed by Talay, Denis; Tubaro, Luciano


Book ID
118118373
Publisher
Taylor and Francis Group
Year
1990
Tongue
English
Weight
635 KB
Volume
8
Category
Article
ISSN
0736-2994

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Stability of weak numerical schemes for
✍ Norbert Hofmann πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 310 KB

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