TWO-STEP ORDER 23 STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS

被引：0

作者：

Alhojilan, Yazid ^{[1
]}

机构：

[1] Qassim Univ, Dept Math, Coll Sci, Buraydah, Saudi Arabia

来源：

ADVANCES IN DIFFERENTIAL EQUATIONS AND CONTROL PROCESSES | 2023年 / 30卷 / 01期

关键词：

and phrases; stochastic differential equations; pathwise approximation; Runge-Kutta method; It?-Taylor expansion; SIMULATION;

D O I：

10.17654/0974324323001

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider two-step order strong scheme for getting numerical solutions of stochastic differential equations (SDEs) of order 3 . It follows a new technique based on replacing stochastic 2 integrals I alpha by random variables. Thus we do not need to calculate I alpha. We employ Ito-Taylor expansion and Runge-Kutta method to get the approximate solutions of the desired order. The experimental results of the approximation method and its error are provided to confirm the validity of the method.

引用

页码：1 / 13

页数：13

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