A novel approach to construct numerical methods for stochastic differential equations

被引：15

作者：

Halidias, Nikolaos ^{[1
]}

机构：

[1] Univ Aegean, Dept Stat & Actuarial Financial Math, Karlovassi 83200, Samos, Greece

来源：

NUMERICAL ALGORITHMS | 2014年 / 66卷 / 01期

关键词：

Explicit numerical scheme; Super linear stochastic differential equations; LIPSCHITZ CONTINUOUS COEFFICIENTS; STRONG-CONVERGENCE;

D O I：

10.1007/s11075-013-9724-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：79 / 87

页数：9

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