TWO-STEP ORDER STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.17654/0974324323001OpenAlexW4313466305WikidataQ117218973 ScholiaQ117218973MaRDI QIDQ6115088

Yazid Alhojilan

Publication date: 15 August 2023

Published in: Advances in Differential Equations and Control Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/0974324323001

zbMATH Keywords

stochastic differential equationsRunge-Kutta methodpathwise approximationItô-Taylor expansion

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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