• 1
  • 1
  • 2
  • 6
  • 5
  • 6
  • 3
  • 4
IPM
30
YEARS OLD

“School of Mathematics”

Back to Papers Home
Back to Papers of School of Mathematics

Paper   IPM / M / 15271
School of Mathematics
  Title:   Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
  Author(s):  Kazem Nouri (Joint with H. Ranjbar and L. Torkzadeh)
  Status:   Published
  Journal: Mediterr. J. Math.
  Year:  2018
  Pages:   DOI: 10.1007/s00009-018-1187-8
  Supported by:  IPM
  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.

Download TeX format
back to top
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
scroll left or right