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.