A novel approach to construct numerical methods for stochastic differential equations

A novel approach to construct numerical methods for stochastic differential equations

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Article ID: iaor2014781
Volume: 66
Issue: 1
Start Page Number: 79
End Page Number: 87
Publication Date: May 2014
Journal: Numerical Algorithms
Authors:
Keywords: stochastic differential equations
Abstract:

In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.

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