WIAS Preprint No. 57, (1993)
Stability of weak numerical schemes for stochastic differential equations.
Authors
- Hofmann, N.
- Platen, Eckhard
2010 Mathematics Subject Classification
- 60H10
Keywords
- Numerical stability, stochastic differential equations, weak numerical schemes, implicit schemes, regions of stability
DOI
Abstract
The 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.
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