Mean-square stability of a constructed Third-order stochastic Runge–Kutta schemes for general stochastic differential equations
Publish Year: 1401
Type: Journal paper
Language: English
View: 230
This Paper With 22 Page And PDF Format Ready To Download
- Certificate
- I'm the author of the paper
Export:
Document National Code:
JR_CMDE-10-3_005
Index date: 29 January 2023
Mean-square stability of a constructed Third-order stochastic Runge–Kutta schemes for general stochastic differential equations abstract
In this paper, we are interested in the construction of an explicit third-order stochastic Runge–Kutta (SRK3) schemes for the weak approximation of stochastic differential equations (SDEs) with the general diffusion coefficient b(t, x). To this aim, we use the Itˆo-Taylor method and compare them with the stochastic expansion of the approximation. In this way, the authors encountered a large number of equations and could find to derive four families for SRK3 schemes. Also, we investigate the mean-square stability (MS-stability) properties of SRK3 schemes for a linear SDE. Finally, the proposed families are implemented on some examples to illustrate convergence results.
Mean-square stability of a constructed Third-order stochastic Runge–Kutta schemes for general stochastic differential equations Keywords:
Mean-square stability of a constructed Third-order stochastic Runge–Kutta schemes for general stochastic differential equations authors
Omid Farkhonderooz
Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.
Davood Ahmadian
Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :