The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method

DOI10.1155/2018/3805042MaRDI QIDQ1667600zbMATH OpenOpenAlexWikidataFDO

Authors Yousef Alnafisah

Publication date 30 August 2018

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2018/3805042

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

Summary: Multiple stochastic integrals of higher multiplicity cannot always be expressed in terms of simpler stochastic integrals, especially when the Wiener process is multidimensional. In this paper we describe how the Fourier series expansion of Wiener process can be used to simulate a two-dimensional stochastic differential equation (SDE) using Matlab program. Our numerical experiments use Matlab to show how our truncation of Itô'-Taylor expansion at an appropriate point produces Milstein method for the SDE.

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Cited in

(4)

• The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms
• Abundant exact soliton solutions of the \((2+1)\)-dimensional Heisenberg ferromagnetic spin chain equation based on the Jacobi elliptic function ideas
• The implementation of Milstein scheme in two-dimensional SDEs using non-degeneracy for the diffusion term
• Inference on a stochastic SIR model including growth curves

Describes a project that uses

Uses Software

• Matlab

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