Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637821 | Journal of Computational and Applied Mathematics | 2017 | 16 Pages |
Abstract
We present an explicit numerical method for solving stochastic differential equations with non-globally Lipschitz coefficients. A linear version of the Steklov average under a split-step formulation supports our new solver. The linear Steklov method converges strongly with a standard one-half order. Also, we present numerical evidence that the explicit linear Steklov reproduces almost surely stability solutions with high-accuracy for diverse application models even for stochastic differential systems with super-linear diffusion coefficients.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
S. Díaz-Infante, S. Jerez,