Stability of weak numerical schemes for stochastic differential equations

Norbert Hofmann

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 63-68

Abstract: 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.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:63-68

DOI: 10.1016/0378-4754(93)E0067-F

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