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Stahle ROW-Type Weak Scheme for Stochastic Differential Equations

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  • Komori Yoshio

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  • Komori Yoshio, 1995. "Stahle ROW-Type Weak Scheme for Stochastic Differential Equations," Monte Carlo Methods and Applications, De Gruyter, vol. 1(4), pages 279-300, December.
    • Handle: RePEc:bpj:mcmeap:v:1:y:1995:i:4:p:279-300:n:3
    DOI: 10.1515/mcma.1995.1.4.279
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    References listed on IDEAS

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    1. N. Hofmann & Eckhard Platen, 1994. "Stability of weak numerical schemes for stochastic differential equations," Published Paper Series 1994-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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