Modifying the split-step theta-method with harmonic-mean term for stochastic differential equations
[EN] In this paper, we design a class of general split-step methods for solving Ito stochastic differential systems, in which the drift or deterministic increment function can be taken from special ordinary differential equations solver, based on the harmonic-mean. This method is justified to have a...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2020 |
| País: | España |
| Institución: | Universitat Politècnica de València (UPV) |
| Repositorio: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Idioma: | inglés |
| OAI Identifier: | oai:riunet.upv.es:10251/164481 |
| Acceso en línea: | https://riunet.upv.es/handle/10251/164481 |
| Access Level: | acceso abierto |
| Palabra clave: | Ito stochastic differential system Split-step method ODE solver Harmonic-mean Strong convergence Mean-square stability MATEMATICA APLICADA |
| Sumario: | [EN] In this paper, we design a class of general split-step methods for solving Ito stochastic differential systems, in which the drift or deterministic increment function can be taken from special ordinary differential equations solver, based on the harmonic-mean. This method is justified to have a strong convergence order of 1/2. Further, we investigate mean-square stability of the proposed method for linear scalar stochastic differential equation. Finally, some examples are included to demonstrate the validity and efficiency of the introduced scheme. |
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