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
✦ LIBER ✦
The Systematic Derivation of Higher Order Numerical Schemes for Stochastic Differential Equations
✍ Scribed by P. E. Kloeden
- Publisher
- SP Birkhäuser Verlag Basel
- Year
- 2002
- Tongue
- English
- Weight
- 220 KB
- Volume
- 70
- Category
- Article
- ISSN
- 1424-9286
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