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