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Romberg extrapolations for numerical schemes solving stochastic differential equations

✍ Scribed by Denis Talay; Luciano Tubaro


Book ID
107915183
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
345 KB
Volume
8
Category
Article
ISSN
0167-4730

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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