dc.contributor.author |
Ranjbar, Hassan
|
|
dc.contributor.author |
Torkzadeh, Leila
|
|
dc.contributor.author |
Baleanu, Dumitru
|
|
dc.contributor.author |
Nouri, Kazem
|
|
dc.date.accessioned |
2024-10-24T07:54:58Z |
|
dc.date.available |
2024-10-24T07:54:58Z |
|
dc.date.issued |
2022 |
|
dc.identifier.citation |
Ranjbar, Hassan...et al (2022). "Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme", AIMS MATHEMATICS, Vol. 8, No. 2, pp. 2576-2590. |
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dc.identifier.issn |
2473-6988 |
|
dc.identifier.uri |
http://hdl.handle.net/20.500.12416/8518 |
|
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 (alpha, beta)-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 alpha, beta. Finally, numerical examples illustrate the effectiveness of the theoretical results. |
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dc.language.iso |
eng |
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dc.relation.isversionof |
10.3934/math.2023133 |
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dc.rights |
info:eu-repo/semantics/openAccess |
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dc.subject |
Itô Stochastic Ordinary Differential Equations |
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dc.subject |
Mean-Square Convergence |
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dc.subject |
Mean-Square Stability |
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dc.subject |
Split-Step Milstein Scheme |
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dc.title |
Simulating systems of Ito? SDEs with split-step (?, ?)-Milstein scheme |
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dc.type |
article |
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dc.relation.journal |
AIMS MATHEMATICS |
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dc.contributor.authorID |
56389 |
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dc.identifier.volume |
8 |
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dc.identifier.issue |
2 |
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dc.identifier.startpage |
2576 |
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dc.identifier.endpage |
2590 |
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dc.contributor.department |
Çankaya Üniversitesi, Fen - Edebiyat Fakültesi, Matematik Bölümü |
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