Stability of weak numerical schemes for stochastic differential equations

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. (orig.)Available from TIB Hannover: RR 5549(57)+a / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman