Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme
| dc.contributor.author | Ranjbar, Hassan | |
| dc.contributor.author | Torkzadeh, Leila | |
| dc.contributor.author | Baleanu, Dumitru | |
| dc.contributor.author | Nouri, Kazem | |
| dc.date.accessioned | 2024-10-24T07:54:58Z | |
| dc.date.available | 2024-10-24T07:54:58Z | |
| dc.date.issued | 2022 | |
| dc.description.abstract | 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. | en_US |
| dc.identifier.citation | Ranjbar, Hassan...et al (2022). "Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme", AIMS MATHEMATICS, Vol. 8, No. 2, pp. 2576-2590. | en_US |
| dc.identifier.doi | 10.3934/math.2023133 | |
| dc.identifier.issn | 2473-6988 | |
| dc.identifier.scopus | 2-s2.0-85141430173 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/8518 | |
| dc.identifier.uri | https://doi.org/10.3934/math.2023133 | |
| dc.language.iso | en | en_US |
| dc.publisher | Amer Inst Mathematical Sciences-AIMS | |
| dc.relation.ispartof | AIMS MATHEMATICS | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Itô Stochastic Ordinary Differential Equations | en_US |
| dc.subject | Mean-Square Convergence | en_US |
| dc.subject | Mean-Square Stability | en_US |
| dc.subject | Split-Step Milstein Scheme | en_US |
| dc.title | Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme | tr_TR |
| dc.title | Simulating Systems of Ito? Sdes With Split-Step (?, ?)-Milstein Scheme | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Ranjbar, Hassan/0000-0001-9374-1091 | |
| gdc.author.id | Nouri, Kazem/0000-0002-7922-5848 | |
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| gdc.author.wosid | Torkzadeh, Leila/HKN-6325-2023 | |
| gdc.author.wosid | Baleanu, Dumitru/B-9936-2012 | |
| gdc.author.wosid | Ranjbar, Hassan/P-8456-2019 | |
| gdc.author.wosid | Nouri, Kazem/HGE-0958-2022 | |
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| gdc.description.department | Çankaya Üniversitesi, Fen - Edebiyat Fakültesi, Matematik Bölümü | en_US |
| gdc.description.departmenttemp | [Ranjbar, Hassan; Torkzadeh, Leila; Nouri, Kazem] Semnan Univ, Fac Math, Dept Math Stat & Comp Sci, POB 35195363, Semnan, Iran; [Baleanu, Dumitru] Cankaya Univ, Fac Arts & Sci, Dept Math, Ankara, Turkey; [Baleanu, Dumitru] Inst Space Sci, POB,MG-23, R-76900 Magurele, Romania; [Baleanu, Dumitru] China Med Univ Hosp, China Med Univ, Dept Med Res, Taichung, Taiwan | |
| gdc.description.endpage | 2590 | en_US |
| gdc.description.issue | 2 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 2576 | en_US |
| gdc.description.volume | 8 | en_US |
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| gdc.oaire.keywords | mean-square convergence | |
| gdc.oaire.keywords | split-step milstein scheme | |
| gdc.oaire.keywords | QA1-939 | |
| gdc.oaire.keywords | itô stochastic ordinary differential equations | |
| gdc.oaire.keywords | mean-square stability | |
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| gdc.virtual.author | Baleanu, Dumitru | |
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