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Abstract The numerical methods on stochastic differential equations (SDEs) have been well established. There are several papers that study the numerical stability of SDEs with respect to sample paths or moments. In this paper, we study the stability in distribution of numerical solution of SDEs.
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Yuan et al. (Thu,) studied this question.
www.synapsesocial.com/papers/6a01f34e0ed7d2e5335c9cd3 — DOI: https://doi.org/10.1081/sap-200026423
Chenggui Yuan
Xuerong Mao
Stochastic Analysis and Applications
University of Cambridge
University of Strathclyde
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