Derivation of stochastic Taylor methods for stochastic differential equations

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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Bibliographic Details
Main Authors: Noor Amalina Nisa, Ariffin, Norhayati, Rosli
Format: Article
Language:English
Published: Penerbit UTM Press 2017
Subjects:
QA Mathematics
Online Access:http://umpir.ump.edu.my/id/eprint/20729/
http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf

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