Year: 1992
Author: Jian-Feng Feng, Gong-Yan Lei, Min-Ping Qian
Journal of Computational Mathematics, Vol. 10 (1992), Iss. 4 : pp. 376–387
Abstract
In this paper we discuss the numerical methods with second-order accuracy for solving stochastic differential equations. An unbiased sample approximation method for $I_n=\int ^{t_{n+1}}_{t_n}(B_u-B_{t_n})^2du$ is proposed, where {$B_u$} is a Brownian motion. Then second-order schemes are derived both for scalar cases and for system cases. The errors are measured in the mean square sense. Several numerical examples are included, and numerical results indicate that second-order schemes compare favorably with Euler's schemes and 1.5th-order schemes.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/1992-JCM-9370
Journal of Computational Mathematics, Vol. 10 (1992), Iss. 4 : pp. 376–387
Published online: 1992-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 12