Stability of numerical methods for solving stochastic differential equations
โ Scribed by S. S. Artem'ev
- Publisher
- SP MAIK Nauka/Interperiodica
- Year
- 1994
- Tongue
- English
- Weight
- 275 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0037-4466
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๐ SIMILAR VOLUMES
The present paper is devoted to the numerical solution of the stability problem for linear integro-differential equations, describing the behavior of stochastic viscoelastic systems. The method is based on the statistical simulation of input random wide-band stationary processes and with this aim th
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