Year: 2008
International Journal of Numerical Analysis and Modeling, Vol. 5 (2008), Iss. 4 : pp. 673–692
Abstract
In this paper, we propose a fully drift-implicit splitting numerical scheme for the stochastic differential equations driven by the standard $d$-dimensional Brownian motion. We prove that its strong convergence rate is of the same order as the standard Euler-Maruyama method. Some numerical experiments are also carried out to demonstrate this property. This scheme allows us to use the latest information inside each iteration in the Euler-Maruyama method so that better approximate solutions could be obtained than the standard approach.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2008-IJNAM-832
International Journal of Numerical Analysis and Modeling, Vol. 5 (2008), Iss. 4 : pp. 673–692
Published online: 2008-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 20
Keywords: stochastic differential equation drift-implicit splitting scheme Brownian motion.