A novel approach to construct numerical methods for stochastic differential equations
Numerical Analysis
2013-03-14 v2
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.
Cite
@article{arxiv.1303.1621,
title = {A novel approach to construct numerical methods for stochastic differential equations},
author = {Nikolaos Halidias},
journal= {arXiv preprint arXiv:1303.1621},
year = {2013}
}
Comments
2 figures