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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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書誌詳細
主要な著者:	Noor Amalina Nisa, Ariffin, Norhayati, Rosli
フォーマット:	論文
言語:	English
出版事項:	Penerbit UTM Press 2017
主題:	QA Mathematics
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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