“School of Mathematics”
Back to Papers HomeBack to Papers of School of Mathematics
| Paper IPM / M / 15271 |
|
| Abstract: | |
|
In this paper, by composite previous-current-step idea, we propose two numerical schemes for solving the Itô stochastic differential systems. Our approaches, which are based on the Euler-Maruyama method, solve stochastic differential systems with strong sense. The mean-square convergence theory of these methods are analyzed under the Lipschitz and linear growth conditions. The accuracy and efficiency of the proposed numerical methods are examined by linear and nonlinear stochastic differential equations.
Download TeX format |
|
| back to top | |
