STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493708002457zbMath1158.60031OpenAlexW2079982921MaRDI QIDQ3548303

Nicola Bruti-Liberati, Eckhard Platen

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493708002457

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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)

Related Items (4)

Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations ⋮ Almost sure and moment exponential stability of predictor-corrector methods for stochastic differential equations ⋮ On the MS-stability of predictor-corrector schemes for stochastic differential equations ⋮ On the numerical stability of simulation methods for SDEs under multiplicative noise in finance

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