Y. Komori, Y. Saito, and T. Mitsui (1994), Some issues in discrete approximate
solution for stochastic differential equations, Computers & Mathematics
with Applications, 28 (10-12), 269-278.
Abstract
An evaluation method for numerical schemes of stochastic differential equations
is treated. Discussing the source of errors in the discrete numerical solution,
we highlight the effect of pseudo-random numbers upon the numerical solution,
and point out the significance of the independencies of the series of them
required in the numerical schemes. To discriminate the stochastic and deterministic
parts in the errors more clearly, we propose a new two-dimensional linear
test equation of multiplicative type whose analytical solution can be obtained
readily. Our results are illustrated through some numerical examples.
Note
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Last updated: 2008/06/13