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Paper
Title

Construction of New Implicit Milstein-Type Scheme for Solution of the Systems of SODEs

Year: 1400
COI: JR_FOMJ-2-3_004
Language: EnglishView: 43
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Authors

Hassan Ranjbar - Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P. O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran
Younes Akbari - Department of Computer Sciences and Engineering, Qatar University, Doha, Qatar
Hadis Derikvandi - Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P. O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran

Abstract:

The main aim of this study is to construct a new approximation method for solving stif Itˆo stochastic ordinary diferential equations based on explicit Milstein scheme. Under the suicient conditions such as Lipschitz condition and linear growth bound, we prove that split-step (α, β)-Milstein method strongly convergence to exact solution with order one. The means-quare stability of the our method for linear stochastic diferential equation with one-dimensional Wiener process is studied. Stability analysis shows that the mean-square stability our proposed method contains the mean-square stability region of linear scalar test equation. Finally, numerical examples illustrates the efectiveness of the theoretical results.

Keywords:

Itˆ o stochastic ordinary diferential equations , strong convergence , Mean-square stability

Paper COI Code

This Paper COI Code is JR_FOMJ-2-3_004. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/1355863/

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Ranjbar, Hassan and Akbari, Younes and Derikvandi, Hadis,1400,Construction of New Implicit Milstein-Type Scheme for Solution of the Systems of SODEs,https://civilica.com/doc/1355863

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Type of center: دانشگاه دولتی
Paper count: 9,975
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