کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4640824 1341288 2009 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Simplified order 4.0 weak Taylor schemes for additive noise
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Simplified order 4.0 weak Taylor schemes for additive noise
چکیده انگلیسی

Following Kloeden and Platen [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992] Taylor schemes are considered here as the starting point to obtain simplified Taylor schemes replacing the multiple integrals by simpler variables. The conditions that a group of variables has to fulfill so that the new scheme reaches weak-order 4.0 in the additive noise case are given explicitly, as well as the way to find such groups. For a particular selection, a pair of stochastic schemes with order 4.0 in the weak sense, correcting the one proposed in [P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin, 1992], is obtained.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 231, Issue 1, 1 September 2009, Pages 154–159
نویسندگان
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