Numerical solutions of stochastic differential equations – implementation and stability issues
نویسندگان
چکیده
منابع مشابه
Stability in Distribution of Numerical Solutions for Stochastic Differential Equations
The numerical methods on stochastic differential equations (SDEs) have been well established. There are several papers that study the numerical stability of SDEs with respect to sample paths or moments. In this paper we study the stability in distribution of numerical solution of SDEs.
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2000
ISSN: 0377-0427
DOI: 10.1016/s0377-0427(00)00467-2