The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method
type: Item
instance of: scholarly article
title: The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method
zbMATH Open document ID: 1470.65006
DOI: 10.1155/2018/3805042
author: Yousef Alnafisah
published in: Abstract and Applied Analysis
publication date: 2018-08-30T00:00:00Z
review text: Summary: Multiple stochastic integrals of higher multiplicity cannot always be expressed in terms of simpler stochastic integrals, especially when the Wiener process is multidimensional. In this paper we describe how the Fourier series expansion of Wiener process can be used to simulate a two-dimensional stochastic differential equation (SDE) using Matlab program. Our numerical experiments use Matlab to show how our truncation of Itô'-Taylor expansion at an appropriate point produces Milstein method for the SDE.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6929585
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/3805042
OpenAlex ID: W2801824720
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Wikidata QID: Q129849307
description: scientific article; zbMATH DE number 6929585