Some issues in discrete approximate solution for stochastic differential equations
type: Item
instance of: scholarly article
title: Some issues in discrete approximate solution for stochastic differential equations
zbMATH Open document ID: 0810.65145
DOI: 10.1016/0898-1221(94)00197-9
author: Yoshihiro Saito
author: Yoshio Komori
author: Taketomo Mitsui
publication date: 1994-12-01T00:00:00Z
review text: The paper investigates the stability of numerical solutions of stochastic differential equations. A two-dimensional linear test equation with multiplicative noise is suggested for the study of numerical stability of a given numerical scheme.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 699048
zbMATH Keywords: convergence
zbMATH Keywords: stability
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: test equation
MaRDI profile type: Publication
full work available at URL: 0898-1221(94)00197-9
OpenAlex ID: W2020271407
cites work: Q4404205
cites work: Q4732346
cites work: Higher-order implicit strong numerical schemes for stochastic differential equations
cites work: Simulation of stochastic differential equations
cites work: Q4697790
cites work: Q4860586
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 699048