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Paper   IPM / M / 15271
School of Mathematics
  Title:   Improved Euler-Maruyama method for numerical solution of the Itô stochastic differential systems by composite previous-current-step idea
  Author(s):  Kazem Nouri (Joint with H. Ranjbar and L. Torkzadeh)
  Status:   Published
  Journal: Mediterr. J. Math.
  Year:  2018
  Pages:   DOI: 10.1007/s00009-018-1187-8
  Supported by:  IPM
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.

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