Construction of some accelerated methods for solving scalar stochastic differential equations (Q2224139)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction of some accelerated methods for solving scalar stochastic differential equations |
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Construction of some accelerated methods for solving scalar stochastic differential equations (English)
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3 February 2021
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Summary: The purpose of this short communication is to contribute in constructing some new solvers for the strong solution of stochastic ordinary differential equations. It is derived that new methods could be obtained as new variants of the high order scheme of \textit{E. Platen} [Lect. Notes Control Inf. Sci. 96, 187--193 (1987; Zbl 0635.60070)]. A simple technique to accelerate their speed will also be pointed out. Finally, numerical simulations are brought forward to show the efficiency of the derived methods.
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numerical simulation
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stochastic differential equations
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scalar SDEs
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derivative-free
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strong solutions
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