Stability of weak numerical schemes for stochastic differential equations

N. Hofmann and Eckhard Platen ()

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: This paper considers 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 different explicit and implicit schemes, the regions of stability are also examined.

Keywords: Numerical stability; Stochastic differential equations; Weak numerical schemes Implicit schemes; Regions of stability (search for similar items in EconPapers)
Pages: 13 pages
Date: 1994-01-01
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Citations: View citations in EconPapers (10)

Published in: Hofmann, N. and Platen, E., 1994, "Stability Of Weak Numerical Schemes For Stochastic Differential-equations", Computers and Mathematics With Applications, 28(10-12), 45-57.

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