A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise (Q4976104)

scientific article; zbMATH DE number 6754161

Language	Label	Description	Also known as
English	A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise	scientific article; zbMATH DE number 6754161

Statements

instance of

scholarly article

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title

A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise (English)

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published in

SIAM Journal on Numerical Analysis

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publication date

27 July 2017

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full work available at URL

https://arxiv.org/abs/1303.6316

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zbMATH Keywords

stochastic differential equation

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stable numerical scheme

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weak error

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mean-square convergence

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convergence rate

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bilinearity

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unstable equilibrium point

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local Lipschitz condition

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describes a project that uses

S-ROCK

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MaRDI profile type

MaRDI publication profile

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cites work

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Almost sure asymptotic stability analysis of the <i>θ</i>-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Identifiers

zbMATH Open document ID

1369.60049

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DOI

10.1137/140984488

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4976104