scientific article; zbMATH DE number 7104561

zbMath1432.65098MaRDI QIDQ5232663

Mahmoud A. Eissa

Publication date: 12 September 2019

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

zbMATH Keywords

stochastic differential equationsMilstein methodsplit-step methodsnonlinear mean square stabilitysemi-implicit theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical investigation of stability of solutions to ordinary differential equations (65L07)

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Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model

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