Improved Euler–Maruyama Method for Numerical Solution of the Itô Stochastic Differential Systems by Composite Previous-Current-Step Idea

Improved Euler–Maruyama Method for Numerical Solution of the Itô Stochastic Differential... In this paper, by composite previous-current-step idea, we propose two numerical schemes for solving the Itô stochastic differential systems. Our approaches, which are based on the Euler–Maruyama method, solve stochastic differential systems with strong sense. The mean-square convergence theory of these methods are analyzed under the Lipschitz and linear growth conditions. The accuracy and efficiency of the proposed numerical methods are examined by linear and nonlinear stochastic differential equations. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Mediterranean Journal of Mathematics Springer Journals

Improved Euler–Maruyama Method for Numerical Solution of the Itô Stochastic Differential Systems by Composite Previous-Current-Step Idea

Loading next page...
 
/lp/springer_journal/improved-euler-maruyama-method-for-numerical-solution-of-the-it-ebJZbFfgT5
Publisher
Springer International Publishing
Copyright
Copyright © 2018 by Springer International Publishing AG, part of Springer Nature
Subject
Mathematics; Mathematics, general
ISSN
1660-5446
eISSN
1660-5454
D.O.I.
10.1007/s00009-018-1187-8
Publisher site
See Article on Publisher Site

Abstract

In this paper, by composite previous-current-step idea, we propose two numerical schemes for solving the Itô stochastic differential systems. Our approaches, which are based on the Euler–Maruyama method, solve stochastic differential systems with strong sense. The mean-square convergence theory of these methods are analyzed under the Lipschitz and linear growth conditions. The accuracy and efficiency of the proposed numerical methods are examined by linear and nonlinear stochastic differential equations.

Journal

Mediterranean Journal of MathematicsSpringer Journals

Published: Jun 1, 2018

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off