Derivation of stochastic Taylor methods for stochastic differential equations
This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...
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| 主要な著者: | , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Penerbit UTM Press
2017
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| 主題: | |
| オンライン･アクセス: | http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf http://umpir.ump.edu.my/id/eprint/20729/ https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf |
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| 要約: | This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed. |
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