Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

DOI10.1007/s10915-015-0114-4zbMath1362.65011arXiv1411.6961OpenAlexW3122662177MaRDI QIDQ2629249

Elena Isaak, Wolf-Jürgen Beyn, Raphael Kruse

Publication date: 5 July 2016

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.6961

zbMATH Keywords

numerical resultsstochastic differential equationsstochastic volatility modelC-stabilitysplit-step methodsB-consistencyglobal monotonicity conditionprojection Euler-Maruyama methodstochastic Ginzburg-Landau multiplicative noise problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• RODAS

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