Numerical solution of stochastic differential equations with constant diffusion coefficients
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- by Chien Cheng Chang PDF
- Math. Comp. 49 (1987), 523-542 Request permission
Abstract:
We present Runge-Kutta methods of high accuracy for stochastic differential equations with constant diffusion coefficients. We analyze ${L_2}$ convergence of these methods and present convergence proofs. For scalar equations a second-order method is derived, and for systems a method of order one-and-one-half is derived. We further consider a variance reduction technique based on Hermite expansions for evaluating expectations of functions of sample solutions. Numerical examples in two dimensions are presented.References
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Additional Information
- © Copyright 1987 American Mathematical Society
- Journal: Math. Comp. 49 (1987), 523-542
- MSC: Primary 65U05
- DOI: https://doi.org/10.1090/S0025-5718-1987-0906186-6
- MathSciNet review: 906186