Derivation of stochastic Taylor methods for stochastic differential equations
This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...
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| Format: | Journal |
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Malaysian Journal of Fundamental and Applied Sciences , Penerbit UTM
2017
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| Online Access: | http://www.myjurnal.my/public/article-view.php?id=114096 |