NUMERICAL-SOLUTION OF LINEAR STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：5
|
作者：
TOROK, C
机构：
[1] Department of Mathematics Technical University of Košice Vysokoškolská 4
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1994年 / 27卷 / 04期
关键词：
STOCHASTIC DIFFERENTIAL EQUATION; NUMERICAL SOLUTION; MONTE CARLO METHOD; RUNGE-KUTTA METHOD;
D O I：
10.1016/0898-1221(94)90050-7
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A new algorithm of first order is proposed for the numerical solution of linear Ito stochastic differential equations. The error of the scheme is studied for the scalar case analytically and by the Monte Carlo method. It turns out that the new scheme gives better results. A new simple form of the Runge-Kutta method is derived.
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页码：1 / 10
页数：10
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