Year: 2020
Author: Kazem Nouri, Hassan Ranjbar, Juan Carlos Cortés López
International Journal of Numerical Analysis and Modeling, Vol. 17 (2020), Iss. 5 : pp. 662–678
Abstract
In this paper, we design a class of general split-step methods for solving Itô stochastic differential systems, in which the drift or deterministic increment function can be taken
from special ordinary differential equations solver, based on the harmonic-mean. This method is
justified to have a strong convergence order of $\frac{1}{2}$. Further, we investigate mean-square stability
of the proposed method for linear scalar stochastic differential equation. Finally, some examples
are included to demonstrate the validity and efficiency of the introduced scheme.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2020-IJNAM-17874
International Journal of Numerical Analysis and Modeling, Vol. 17 (2020), Iss. 5 : pp. 662–678
Published online: 2020-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Itô stochastic differential system split-step method ODE solver harmonic-mean strong convergence mean-square stability.