Title :
A numerical approximation method for stochastic differential equations of Ito type
Author_Institution :
Inst. for Social Inf. Sci., Fujitsu Labs. Ltd., Shizuoka, Japan
Abstract :
A higher order scheme is developed for the numerical approximation of the solutions to stochastic differential equations of Ito type. The numerical scheme is of implicit Runge-Kutta (IRK) method which is recognized as appropriate for stiff equations. As the results of error analysis, it is shown that the IRK scheme has 1.5 order accuracy and asymptotic efficiency
Keywords :
Runge-Kutta methods; approximation theory; differential equations; error analysis; Ito type; Runge-Kutta method; asymptotic efficiency; error analysis; numerical approximation; stochastic differential equations; Approximation methods; Chemicals; Convergence; Differential equations; Indium tin oxide; Information science; Laboratories; Stochastic processes; Taylor series;
Conference_Titel :
Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on
Conference_Location :
San Antonio, TX
Print_ISBN :
0-7803-1298-8
DOI :
10.1109/CDC.1993.325891
