Explicit order 3/2 Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
This paper aims to present a new pathwise approximation method, which gives approximate solutions of order 32$\begin{array}{} \displaystyle \frac{3}{2} \end{array}$ for stochastic differential equations (SDEs) driven by multidimensional Brownian motions. The new method, which assumes the diffusion m...
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| Format: | Article |
| Language: | English |
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De Gruyter
2019-12-01
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| Series: | Open Mathematics |
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| Online Access: | http://www.degruyter.com/view/j/math.2019.17.issue-1/math-2019-0124/math-2019-0124.xml?format=INT |