Strong approximation for Itô stochastic differential equations
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...
Gardado en:
| Autor Principal: | |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Ferdowsi University of Mashhad
2015-04-01
|
| Series: | Iranian Journal of Numerical Analysis and Optimization |
| Assuntos: | |
| Acceso en liña: | https://ijnao.um.ac.ir/article_24437_d2c181abfd8f12d2f089d0d44d94ea0d.pdf |
| Tags: |
Sen Etiquetas, Sexa o primeiro en etiquetar este rexistro!
|