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Numerical schemes for multivalued backward stochastic differential systems

โœ Scribed by Lucian Maticiuc; Eduard Rotenstein


Book ID
111488795
Publisher
SP Versita
Year
2011
Tongue
English
Weight
836 KB
Volume
10
Category
Article
ISSN
1895-1074

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โœ Norbert Hofmann ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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