Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

Irene Tubikanec; Massimiliano Tamborrino; Petr Lansky; Evelyn Buckwar

doi:10.1016/j.cam.2021.113951

Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

Irene Tubikanec, Massimiliano Tamborrino, Petr Lansky, Evelyn Buckwar

Institute of Stochastics

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	113951
Pages (from-to)	to appear
Number of pages	29
Journal	Journal of Computational and Applied Mathematics
Volume	406
Issue number	113951
DOIs	https://doi.org/10.1016/j.cam.2021.113951
Publication status	Published - 01 May 2022

Fields of science

101 Mathematics
101014 Numerical mathematics
101018 Statistics
101019 Stochastics
101024 Probability theory

JKU Focus areas

Digital Transformation

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10.1016/j.cam.2021.113951

Cite this

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title = "Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion",

author = "Irene Tubikanec and Massimiliano Tamborrino and Petr Lansky and Evelyn Buckwar",

year = "2022",

month = may,

day = "1",

doi = "10.1016/j.cam.2021.113951",

language = "English",

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pages = "to appear",

journal = "Journal of Computational and Applied Mathematics",

issn = "0377-0427",

publisher = "Elsevier",

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TY - JOUR

T1 - Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

AU - Tubikanec, Irene

AU - Tamborrino, Massimiliano

AU - Lansky, Petr

AU - Buckwar, Evelyn

PY - 2022/5/1

Y1 - 2022/5/1

UR - https://www.scopus.com/pages/publications/85121879507

U2 - 10.1016/j.cam.2021.113951

DO - 10.1016/j.cam.2021.113951

M3 - Article

SN - 0377-0427

VL - 406

SP - to appear

JO - Journal of Computational and Applied Mathematics

JF - Journal of Computational and Applied Mathematics

IS - 113951

M1 - 113951

ER -

Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion

Fields of science

JKU Focus areas

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