STRONG APPROXIMATION FOR IT^OSTOCHASTIC DI ERENTIAL EQUATIONS

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NAMJOO M.

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Paper Information

Journal: IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION Year:2015 | Volume:5 | Issue:1 Page(s): 1-12

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Information Journal Paper

Title

STRONG APPROXIMATION FOR IT^OSTOCHASTIC DI ERENTIAL EQUATIONS

Author(s)

NAMJOO M. | Issue Writer Certificate

Keywords

STOCHASTIC DIQ2

ERENTIAL EQUATIONSQ2

STRONG APPROXIMATIONQ2

RUNGE-KUTTA METHODSQ2

Abstract

In this paper, a class of semi-implicit two-stage stochastic Runge-Kuttamethods (SRKs) of strong global order one, with minimum principal er-ror constants are given. These methods are applied to solve It^o stochas-tic di ERENTIAL EQUATIONS (SDEs) with a Wiener process. The e ciency ofthis method with respect to explicit two-stage It^o RUNGE-KUTTA METHODS(IRKs), It^o method, Milstien method, semi-implicit and implicit two-stageStratonovich RUNGE-KUTTA METHODS are demonstrated by presenting somenumerical results.

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APA: Copy

NAMJOO, M.. (2015). STRONG APPROXIMATION FOR IT^OSTOCHASTIC DI ERENTIAL EQUATIONS. IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION, 5(1 ), 1-12. SID. https://sid.ir/paper/260849/en

Vancouver: Copy

NAMJOO M.. STRONG APPROXIMATION FOR IT^OSTOCHASTIC DI ERENTIAL EQUATIONS. IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION[Internet]. 2015;5(1 ):1-12. Available from: https://sid.ir/paper/260849/en

IEEE: Copy

M. NAMJOO, “STRONG APPROXIMATION FOR IT^OSTOCHASTIC DI ERENTIAL EQUATIONS,” IRANIAN JOURNAL OF NUMERICAL ANALYSIS AND OPTIMIZATION, vol. 5, no. 1 , pp. 1–12, 2015, [Online]. Available: https://sid.ir/paper/260849/en

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