On Convergence of One-Step Schemes for Weak Solutions of Quantum Stochastic Differential Equations
β Scribed by E.O. Ayoola
- Book ID
- 110294261
- Publisher
- Springer Netherlands
- Year
- 2001
- Tongue
- English
- Weight
- 234 KB
- Volume
- 67
- Category
- Article
- ISSN
- 0167-8019
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π SIMILAR VOLUMES
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
## Abstract The logarithmic matrix norm with respect to __l__~2~ matrix norm will be used to investigate mean square stability for a class of secondβorder weak schemes when applied to 2βdimensional linear stochastic differential systems with one multiplicative noise. (Β© 2004 WILEYβVCH Verlag GmbH &