Simulating Stochastic Differential Equations with Conserved Quantities by Improved Explicit Stochastic Runge–Kutta Methods
                    
                        
                            نویسندگان
                            
                            
                        
                        
                    
                    
                    چکیده
منابع مشابه
Explicit methods for stiff stochastic differential equations
Multiscale differential equations arise in the modeling of many important problems in the science and engineering. Numerical solvers for such problems have been extensively studied in the deterministic case. Here, we discuss numerical methods for (mean-square stable) stiff stochastic differential equations. Standard explicit methods, as for example the EulerMaruyama method, face severe stepsize...
متن کاملSimulating and Forecasting OPEC Oil Price Using Stochastic Differential Equations
The main purpose of this paper is to provide a quantitative analysis to investigate the behavior of the OPEC oil price. Obtaining the best mathematical equation to describe the price and volatility of oil has a great importance. Stochastic differential equations are one of the best models to determine the oil price, because they include the random factor which can apply the effect of different ...
متن کاملSimulating Stochastic Differential Equations
Let S t be the time t price of a particular stock. We know that if S t ∼ GBM (µ, σ 2), then S t = S 0 e (µ−σ 2 /2)t+σBt (1) where B t is the Brownian motion driving the stock price. An alternative possibility is to use a stochastic differential equation (SDE) to describe the evolution of S t. In this case we would write S t = S 0 + t 0 µS u du + t 0 σS u dB u (2) or in shorthand , dS t = µS t d...
متن کاملStochastic differential equations and integrating factor
The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.
متن کاملImproved linear multi-step methods for stochastic ordinary differential equations
We consider linear multi-step methods for stochastic ordinary differential equations and study their convergence properties for problems with small noise or additive noise. We present schemes where the drift part is approximated by well-known methods for deterministic ordinary differential equations. Previously, we considered Maruyama-type schemes, where only the increments of the driving Wiene...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics
سال: 2020
ISSN: 2227-7390
DOI: 10.3390/math8122195