کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8900895 | 1631724 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Generalized two-step Maruyama methods for stochastic differential equations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Generalized two-step Maruyama methods for stochastic differential equations Generalized two-step Maruyama methods for stochastic differential equations](/preview/png/8900895.png)
چکیده انگلیسی
In this paper, we propose generalized two-step Maruyama methods for solving Itô stochastic differential equations. Numerical analysis concerning consistency, convergence and numerical stability in the mean-square sense is presented. We derive sufficient and necessary conditions for linear mean-square stability of the generalized two-step Maruyama methods. We compare the stability region of the generalized two-step Maruyama methods of Adams type with that of the corresponding two-step Maruyama methods of Adams type and show that our proposed methods have better linear mean-square stability. A numerical example is given to confirm our theoretical results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 332, 1 September 2018, Pages 48-57
Journal: Applied Mathematics and Computation - Volume 332, 1 September 2018, Pages 48-57
نویسندگان
Quanwei Ren, Hongjiong Tian,