A novel approach to construct numerical methods for stochastic differential equations

2013/03/07 by Halidias, Nikolaos
#60H10 #60H35 #FOS: Mathematics #Numerical Analysis (math.NA)

paper · doi:10.48550/arxiv.1303.1621

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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