Y. Komori and T. Mitsui (1995), Stable ROW-type weak scheme for stochastic differential equations, Monte Carlo Methods and Applications, 1 (4), 279-300.

Abstract
A stable weak scheme of ROW-type is proposed for stochastic differential equation so as to reserve its stability in the mean square sense and to be of order 2. Desirable restrictions of numerical scheme are investigated to derive a specified one. Through some numerical experiments for the scheme, the stability property and the convergence order are verified.

Note
The jounal is abstracted/indexed in MathSciNet. In addition, the paper will be found by cited ref search in Web of Science. Thus, additional information about the paper is obtainable from the databases.

The pdf file is obtainable from here. (Access to the file will depend on your entitlements.)

All papers

Top page

Last updated: 2009/11/21