Construction of some accelerated methods for solving scalar stochastic differential equations

被引：0

作者：

Soheili, Ali R. ^{[1
]}

Soleymani, Fazlollah ^{[1
]}

机构：

[1] Ferdowsi Univ Mashhad, Dept Appl Math, Fac Math Sci, Mashhad, Iran

来源：

INTERNATIONAL JOURNAL OF COMPUTING SCIENCE AND MATHEMATICS | 2016年 / 7卷 / 06期

关键词：

numerical methods; stochastic differential equations; SDEs; derivative-free; strong solution;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The purpose of this short communication is to contribute in constructing some new solvers for the strong solution of stochastic ordinary differential equations. It is derived that new methods could be obtained as new variants of the high order scheme of Platen (1987). A simple technique to accelerate their speed will also be pointed out. Finally, numerical simulations are brought forward to show the efficiency of the derived methods.

引用

页码：537 / 547

页数：11

共 16 条

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