Strong approximation for Itô stochastic differential equations

Iranian Journal of Numerical Analysis and Optimization

مقاله 2، دوره 5، شماره 1 - شماره پیاپی 7، 2015، صفحه 1-12   

نوع مقاله: Research Article

شناسه دیجیتال (DOI): 10.22067/ijnao.v5i1.33760

نویسنده

M. Namjoo^*

Department of Mathematics, School of Mathematical Sciences, Vali-e-Asr University of Rafsanjan, Rafsanjan, Iran.

چکیده

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.

کلیدواژه‌ها

Stochastic differential equations؛ Strong approximation؛ Runge-Kutta methods

مراجع