STABILITY OF WEAK NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：13

作者：

HOFMANN, N

PLATEN, E

机构：

[1] AUSTRALIAN NATL UNIV,SMS,GPO BOX 4,CANBERRA,ACT 0200,AUSTRALIA

[2] INST APPL ANAL STOCHAST,W-1086 BERLIN,GERMANY

来源：

COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1994年 / 28卷 / 10-12期

关键词：

NUMERICAL STABILITY; STOCHASTIC DIFFERENTIAL EQUATIONS; WEAK NUMERICAL SCHEMES; IMPLICIT SCHEMES; REGIONS OF STABILITY;

D O I：

10.1016/0898-1221(94)00185-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 [应用数学];

摘要：

This paper considers numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For different explicit and implicit schemes, the regions of stability are also examined.

引用

页码：45 / 57

页数：13

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