Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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Publication:5284621
DOI10.1137/S0036142992228409zbMath0869.60052OpenAlexW1964221133MaRDI QIDQ5284621
Yoshihiro Saito, Taketomo Mitsui
Publication date: 5 August 1997
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036142992228409
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Probabilistic methods, stochastic differential equations (65C99)
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