Second-Order Methods for Solving Stochastic Differential Equations

Second-Order Methods for Solving Stochastic Differential Equations

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

Keywords:   

Author Details

Jian-Feng Feng

Gong-Yan Lei

Min-Ping Qian