A novel approach to construct numerical methods for stochastic differential equations
arXiv:1303.162127 citationsh-index: 12
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Provides a novel numerical approach for SDEs, addressing a known divergence issue in superlinear cases.
The paper proposes a new numerical method for stochastic differential equations and demonstrates it with an explicit scheme for a superlinear SDE where the Euler scheme fails.
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.