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WoS İndeksli Yayınlar Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/8653

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Browsing WoS İndeksli Yayınlar Koleksiyonu by Publisher "Amer Inst Mathematical Sciences-AIMS"

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    Citation - WoS: 3
    Citation - Scopus: 3
    Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme
    (Amer Inst Mathematical Sciences-AIMS, 2022) Ranjbar, Hassan; Torkzadeh, Leila; Baleanu, Dumitru; Nouri, Kazem
    In the present study, we provide a new approximation scheme for solving stochastic differential equations based on the explicit Milstein scheme. Under sufficient conditions, we prove that the split-step (alpha, beta)-Milstein scheme strongly convergence to the exact solution with order 1.0 in mean-square sense. The mean-square stability of our scheme for a linear stochastic differential equation with single and multiplicative commutative noise terms is studied. Stability analysis shows that the mean-square stability of our proposed scheme contains the mean-square stability region of the linear scalar test equation for suitable values of parameters alpha, beta. Finally, numerical examples illustrate the effectiveness of the theoretical results.