شماره ركورد كنفرانس :
102
عنوان مقاله :
STRONG NUMERICAL METHODS OF RUNGE–KUTTA TYPE FOR STOCHASTIC DIFFERENTIAL EQUATIONS
پديدآورندگان :
Namjoo M نويسنده Department of Mathematics, School of Mathematical Sciences, Vali-e-Asr University of Rafsanjan , Rafsanjan, Iran , Salari Z نويسنده Oral & Dental Diseases Research Center, Department of Pediatric Dentistry, School of Dentistry, Kerman University of Medical Sciences, Kerman, Iran , KHARAZMI O نويسنده
كليدواژه :
stochastic differential equations , STRONG NUMERICAL METHODS , Runge–Kutta
عنوان كنفرانس :
مجموعه مقالات چهل دومين كنفرانس رياضي ايران
چكيده فارسي :
In this paper, using stochastic Runge–Kutta methods (SRKs),
strong order one conditions for class of these methods, which is applied for
solving Itˆo stochastic differential equations (SDEs), are stated. In particular,
an explicit three–stage SRK method of this class is constructed. The
efficiency of our method with respect to explicit two–stage Itˆo SRKs and Itˆo
method and Milstein method with two test problems will be demonstrate
شماره مدرك كنفرانس :
1994188
