Strong approximation for Itô stochastic differential equations
In this paper, a class of semi-implicit two-stage stochastic Runge-Kutta methods (SRKs) of strong global order one, with minimum principal error constants are given. These methods are applied to solve Itô stochastic differential equations (SDEs) with a Wiener process. The efficiency of this method...
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| Format: | Article |
| Language: | English |
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Ferdowsi University of Mashhad
2015-04-01
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| Series: | Iranian Journal of Numerical Analysis and Optimization |
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| Online Access: | https://ijnao.um.ac.ir/article_24437_d2c181abfd8f12d2f089d0d44d94ea0d.pdf |