Transactions of the Japan Society for Industrial and Applied Mathematics
Online ISSN : 2424-0982
ISSN-L : 0917-2246
Numerical Stability of First Order Weak schemes for Storatonovich Stochastic Differential Equations
Yoshihiro Saito
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2012 Volume 22 Issue 3 Pages 109-116

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Abstract
The numerical stability of first order weak schemes for the Stratonovich stochastic differential equations is discussed. We show that the Milstein and the Platen schemes have weak order 1. In this paper we study mean-square and asymptotic stability of Milstein and optimal Platen simplified schemes with a two point and uniformly distributed random variable which has similar moment properties to the normal random variable.
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© 2012 The Japan Society for Industrial and Applied Mathematics
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