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A family of Chaplygin-type solvers for Itô stochastic differential equations

Author

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  • Soheili, Ali R.
  • Amini, Mohammad
  • Soleymani, Fazlollah

Abstract

The objective of this study is to contribute a general family for solving Itô-type stochastic ordinary differential equations. The proposed scheme is implicit and comprises a free parameter. Theoretical aspects are provided to show its convergence. The extension of the new approach for the system of stochastic differential equations is also attained.

Suggested Citation

  • Soheili, Ali R. & Amini, Mohammad & Soleymani, Fazlollah, 2019. "A family of Chaplygin-type solvers for Itô stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 340(C), pages 296-304.
    • Handle: RePEc:eee:apmaco:v:340:y:2019:i:c:p:296-304
    DOI: 10.1016/j.amc.2018.08.038
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    References listed on IDEAS

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    1. N. Hofmann & Eckhard Platen, 1994. "Stability of weak numerical schemes for stochastic differential equations," Published Paper Series 1994-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Tocino, A., 2009. "Multiple stochastic integrals with Mathematica," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1658-1667.
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    Cited by:

    1. Malik Zaka Ullah & Vali Torkashvand & Stanford Shateyi & Mir Asma, 2022. "Using Matrix Eigenvalues to Construct an Iterative Method with the Highest Possible Efficiency Index Two," Mathematics, MDPI, vol. 10(9), pages 1-15, April.

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