Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion

DOI10.1515/math-2019-0124zbMath1452.65015OpenAlexW2999922032MaRDI QIDQ2189180

Yazid Alhojilan

Publication date: 15 June 2020

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2019-0124

zbMATH Keywords

stochastic differential equationsRunge-Kutta methodpathwise approximationItô-Taylor expansion

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme

Uses Software

• Matlab

Cites Work

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• Upper bounds for minimal distances in the central limit theorem
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• On the simulation of iterated Itô integrals.
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Random Generation of Stochastic Area Integrals
• The algebra of iterated stochastic integrals

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