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Browsing Matematik Bölümü by Subject "Itô Stochastic Ordinary Differential Equations"

Browsing Matematik Bölümü by Subject "Itô Stochastic Ordinary Differential Equations"

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  • Simulating systems of Itô SDEs with split-step (α, β)-Milstein scheme 
    Ranjbar, Hassan; Torkzadeh, Leila; Baleanu, Dumitru; Nouri, Kazem (2023)
    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 (α, β)-Milstein ...
  • Simulating systems of Itô SDEs with split-step (α, β)-Milstein scheme 
    Ranjbar, Hassan; Torkzadeh, Leila; Baleanu, Dumitru; Nouri, Kazem (2023)
    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 (α, β)-Milstein ...