A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

DOI10.1137/140984488zbMath1369.60049arXiv1303.6316OpenAlexW2619827919MaRDI QIDQ4976104

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Publication date: 27 July 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.6316

zbMATH Keywords

stochastic differential equationconvergence ratemean-square convergenceweak errorlocal Lipschitz conditionunstable equilibrium pointbilinearitystable numerical scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) 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

Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments, Numerical solution of stochastic quantum master equations using stochastic interacting wave functions, First-order weak balanced schemes for stochastic differential equations, A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations

Uses Software

• S-ROCK

Cites Work

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