New S-ROCK methods for stochastic differential equations with commutative noise

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HAGHIGHI A.

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Journal: IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION Year:2019 | Volume:9 | Issue:1 (15) Page(s): 105-126

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Title

New S-ROCK methods for stochastic differential equations with commutative noise

Author(s)

HAGHIGHI A. | Issue Writer Certificate

Keywords

Stochastic differential equationsQ2

Runge{Kutta methodsQ1

Stochas-tic mean square stabilityQ1

Stiff equationsQ1

Commutative noiseQ1

Abstract

The class of strong stochastic Runge{Kutta (SRK) methods for stochas-tic differential equations with a Commutative noise proposed by R o ler (2010) is considered. Motivated by Komori and Burrage (2013), we design a class of explicit stochastic orthogonal Runge{Kutta Chebyshev (SROCKC2) meth-ods of strong order one for the approximation of the solution of It^o SDEs with an m-dimensional Commutative noise. The mean-square and asymptotic stability analysis of the newly proposed methods applied to a scalar linear test equation with a multiplicative noise is presented. Finally, some numer-ical experiments for stochastic models arising in applications are given that con rm the theoretical discussion.

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APA: Copy

HAGHIGHI, A.. (2019). New S-ROCK methods for stochastic differential equations with commutative noise. IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION, 9(1 (15) ), 105-126. SID. https://sid.ir/paper/260829/en

Vancouver: Copy

HAGHIGHI A.. New S-ROCK methods for stochastic differential equations with commutative noise. IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION[Internet]. 2019;9(1 (15) ):105-126. Available from: https://sid.ir/paper/260829/en

IEEE: Copy

A. HAGHIGHI, “New S-ROCK methods for stochastic differential equations with commutative noise,” IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION, vol. 9, no. 1 (15) , pp. 105–126, 2019, [Online]. Available: https://sid.ir/paper/260829/en

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