Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

DOI10.1007/978-3-642-22368-6_1zbMath1258.60042OpenAlexW415404417MaRDI QIDQ2914786

Henri Schurz

Publication date: 21 September 2012

Published in: Stochastic Differential Equations and Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22368-6_1

zbMATH Keywords

stabilityconvergenceconsistencystochastic differential equationspositivitynumerical approximationtheta method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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First-order weak balanced schemes for stochastic differential equations, Unnamed Item, The truncated Milstein method for stochastic differential equations with commutative noise, Unnamed Item, A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

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