Strong approximation for It^o stochastic di erential equations
Publish Year: 1394
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJNAO-5-1_001
تاریخ نمایه سازی: 6 شهریور 1396
Abstract:
In this paper, a class of semi-implicit two-stage stochastic Runge-Kutta methods (SRKs) of strong global order one, with minimum principal error constants are given. These methods are applied to solve Itô stochastic differential equations (SDEs) with a Wiener process. The efficiency of this method with respect to explicit two-stage Itô Runge-Kutta methods (IRKs), It method, Milstien method, semi-implicit and implicit two-stage Stratonovich Runge-Kutta methods are demonstrated by presenting some numerical results.
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Authors
m namjoo
Department of Mathematics, School of Mathematical Sciences, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran.