Stability of weak numerical schemes for stochastic differential equations

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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Year of publication:	1995
Authors:	Hofmann, Norbert
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 38.1995, 1, p. 63-68
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010870372