Construction of some accelerated methods for solving scalar stochastic differential equations
Year
: 2016
Abstract: The purpose of this short communication is to contribute in constructing some new solvers
for strong solution of stochastic ordinary differential equations. It is derived that new methods could be
obtained as the new variants of the high order scheme of Platen & Wagner [13]. 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.
for strong solution of stochastic ordinary differential equations. It is derived that new methods could be
obtained as the new variants of the high order scheme of Platen & Wagner [13]. 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.
Keyword(s): numerical methods,SDEs,complexity,derivative-free,strong solution
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Construction of some accelerated methods for solving scalar stochastic differential equations
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| contributor author | علیرضا سهیلی | en |
| contributor author | فضل الله سلیمانی | en |
| contributor author | Ali Reza Soheili | fa |
| contributor author | Fazlollah Soleymani | fa |
| date accessioned | 2020-06-06T13:25:17Z | |
| date available | 2020-06-06T13:25:17Z | |
| date issued | 2016 | |
| identifier uri | https://libsearch.um.ac.ir:443/fum/handle/fum/3354151?locale-attribute=en | |
| description abstract | The purpose of this short communication is to contribute in constructing some new solvers for strong solution of stochastic ordinary differential equations. It is derived that new methods could be obtained as the new variants of the high order scheme of Platen & Wagner [13]. 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. | en |
| language | English | |
| title | Construction of some accelerated methods for solving scalar stochastic differential equations | en |
| type | Journal Paper | |
| contenttype | External Fulltext | |
| subject keywords | numerical methods | en |
| subject keywords | SDEs | en |
| subject keywords | complexity | en |
| subject keywords | derivative-free | en |
| subject keywords | strong solution | en |
| journal title | International Journal of Computing Science and Mathematics | fa |
| pages | 537-547 | |
| journal volume | 7 | |
| journal issue | 6 | |
| identifier link | https://profdoc.um.ac.ir/paper-abstract-1049164.html | |
| identifier articleid | 1049164 |