scientific article; zbMATH DE number 6164564

zbMath1267.65006MaRDI QIDQ4920594

Samar Singh

Publication date: 21 May 2013

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume9.htm

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stabilitystochastic differential equationnumerical experimentexplicit methodmean square convergencemean convergencesplit-step forward Milstein method

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) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Balanced implicit methods with strong order 1.5 for solving stochastic differential equations ⋮ Mean-square stability of split-step theta Milstein methods for stochastic differential equations ⋮ Unnamed Item ⋮ Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model ⋮ Unnamed Item

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