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On Two‐step Schemes for SDEs with Small Noise
Author(s) -
Buckwar Evelyn,
Winkler Renate
Publication year - 2004
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200410004
Subject(s) - stochastic differential equation , convergence (economics) , noise (video) , stability (learning theory) , mathematics , computer science , economics , artificial intelligence , machine learning , image (mathematics) , economic growth
We consider linear multi‐step methods for stochastic differential equations and present a theorem ensuring their numerical stability and strong convergence. We use this to study the properties of two‐step schemes for stochastic differential equations with small noise. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
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