Stability of numerical schemes for stochastic differential equations with multiplicative noise.
- Hofmann, N.
2010 Mathematics Subject Classification
- Numerical stability, stochastic differential equations, numerical simulations, implicit schemes
A notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise for which there is a connection between the parameters in the drift and diffusion coefficient. By means of the Euler scheme and two different implicit Euler schemes a method to find the regions of stability is also examined.