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On weak implicit and predictor-corrector methods

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  • Platen, Eckhard

Abstract

The paper gives a short survey on weak schemes for stochastic differential equations and discusses several implicit and predictor-corrector type methods.

Suggested Citation

  • Platen, Eckhard, 1995. "On weak implicit and predictor-corrector methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 69-76.
    • Handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:69-76
    DOI: 10.1016/0378-4754(93)E0068-G
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    References listed on IDEAS

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    1. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187, July.
    2. 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.
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    Cited by:

    1. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
    2. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, July-Dece.
    3. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, December.
    6. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2007, January-A.
    7. Haghighi, A. & Hosseini, S.M., 2014. "Analysis of asymptotic mean-square stability of a class of Runge–Kutta schemes for linear systems of stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 105(C), pages 17-48.

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