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Stability of weak numerical schemes for stochastic differential equations

✍ Scribed by Norbert Hofmann

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
310 KB
Volume
38
Category
Article
ISSN
0378-4754

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✦ Synopsis

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 schemes the regions of stability are also examined.

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