A novel approach to construct numerical methods for stochastic differential equations

作者：Halidias Nikolaos^*

来源：Numerical Algorithms, 2014, 66(1): 79-87.

DOI：10.1007/s11075-013-9724-9

• Explicit numerical scheme
• Super linear 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.

• 出版日期2014-5