A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise

Carlos M. Mora, H. A. Mardones, Juan C. Jiménez, M. Selva, Rolando J. Biscay. A Stable Numerical Scheme for Stochastic Differential Equations with Multiplicative Noise. SIAM J. Numerical Analysis, 55(4):1614-1649, 2017. [doi]

Abstract

Abstract is missing.