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A novel approach to construct numerical methods for stochastic differential equations

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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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Authors and Affiliations

  1. Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, 83200, Samos, Greece

    Nikolaos Halidias

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  1. Nikolaos Halidias
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Correspondence to Nikolaos Halidias.

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Halidias, N. A novel approach to construct numerical methods for stochastic differential equations. Numer Algor 66, 79–87 (2014). https://doi.org/10.1007/s11075-013-9724-9

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  • DOI: https://doi.org/10.1007/s11075-013-9724-9

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