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Simulating systems of Itô SDEs with split-step (α, β)-Milstein scheme

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dc.contributor.author Ranjbar, Hassan
dc.contributor.author Torkzadeh, Leila
dc.contributor.author Baleanu, Dumitru
dc.contributor.author Nouri, Kazem
dc.date.accessioned 2024-05-14T07:52:31Z
dc.date.available 2024-05-14T07:52:31Z
dc.date.issued 2023
dc.identifier.citation Ranjbar, Hassan;...et.al. (2023). "Simulating systems of Itô SDEs with split-step (α, β)-Milstein scheme", AIMS Mathematics, Vol.8, No.2, pp.2576-2590. tr_TR
dc.identifier.issn 24736988
dc.identifier.uri http://hdl.handle.net/20.500.12416/8256
dc.description.abstract 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 scheme strongly convergence to the exact solution with order 1.0 in mean-square sense. The mean-square stability of our scheme for a linear stochastic differential equation with single and multiplicative commutative noise terms is studied. Stability analysis shows that the mean-square stability of our proposed scheme contains the mean-square stability region of the linear scalar test equation for suitable values of parameters α, β. Finally, numerical examples illustrate the effectiveness of the theoretical results. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.3934/math.2023133 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Itô Stochastic Ordinary Differential Equations tr_TR
dc.subject Mean-Square Convergence tr_TR
dc.subject Mean-Square Stability tr_TR
dc.subject Split-Step Milstein Scheme tr_TR
dc.title Simulating systems of Itô SDEs with split-step (α, β)-Milstein scheme tr_TR
dc.type article tr_TR
dc.relation.journal AIMS Mathematics tr_TR
dc.contributor.authorID 56389 tr_TR
dc.identifier.volume 8 tr_TR
dc.identifier.issue 2 tr_TR
dc.identifier.startpage 2576 tr_TR
dc.identifier.endpage 2590 tr_TR
dc.contributor.department Çankaya Üniversitesi, Fen Edebiyat Fakültesi, Matematik Bölümü tr_TR


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