Modified Runge–Kutta method with convergence analysis for nonlinear stochastic differential equations with Hölder continuous diffusion coefficient
The main goal of this work is to develop and analyze an accurate trun-cated stochastic Runge–Kutta (TSRK2) method to obtain strong numeri-cal solutions of nonlinear one-dimensional stochastic differential equations (SDEs) with continuous Hölder diffusion coefficients. We will establish the strong L1-...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Ferdowsi University of Mashhad
2023-06-01
|
| Series: | Iranian Journal of Numerical Analysis and Optimization |
| Subjects: | |
| Online Access: | https://ijnao.um.ac.ir/article_43097_f80d1529d2f31ed6c7fe70e243034a31.pdf |