WIAS Preprint No. 39, (1993)

Stability of numerical schemes for stochastic differential equations with multiplicative noise.



Authors

  • Hofmann, N.

2010 Mathematics Subject Classification

  • 60H10

Keywords

  • Numerical stability, stochastic differential equations, numerical simulations, implicit schemes

DOI

10.20347/WIAS.PREPRINT.39

Abstract

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.

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