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

10.20347/WIAS.PREPRINT.57

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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