Stability of weak numerical schemes for stochastic differential equations

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1 November 1994

journal article
Published by Elsevier in Computers & Mathematics with Applications

Vol. 28 (10-12) , 45-57
https://doi.org/10.1016/0898-1221(94)00185-5

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This publication has 4 references indexed in Scilit:

Option Pricing Under Incompleteness and Stochastic Volatility
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Numerical Solution of Stochastic Differential Equations
Published by Springer Nature ,1992
Numerical Integration of Multiplicative-Noise Stochastic Differential Equations
SIAM Journal on Numerical Analysis, 1985
A special stability problem for linear multistep methods
BIT Numerical Mathematics, 1963