Solving high-order uncertain differential equations via Adams-Simpson method

DOI10.1007/S40314-020-01408-ZMaRDI QIDQ2052285zbMATH OpenOpenAlexWikidataFDO

Authors Yudong Hou, Lijun Wu, Yuhong Sheng

Publication date 25 November 2021

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-020-01408-z

zbMATH Keywords

numerical solutionuncertain processAdams-Simpson methodhigh-order uncertain differential equation

Mathematics Subject Classification ID

Approximation algorithms (68W25) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis (60H99)

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Cites work

• A mean-reverting currency model in an uncertain environment
• A new option pricing model for stocks in uncertainty markets
• A no-arbitrage theorem for uncertain stock model
• A numerical method for solving uncertain differential equations
• Adams method for solving uncertain differential equations
• Adams-Simpson method for solving uncertain differential equation
• Existence and uniqueness theorem for uncertain differential equations
• Milne method for solving uncertain differential equations
• On stochastic differential equations
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
• Prospect Theory: An Analysis of Decision under Risk
• Stability of high-order uncertain differential equations
• Stochastic integral
• Uncertain differential equations
• Uncertain optimal control with application to a portfolio selection model
• Uncertain stock model with periodic dividends
• Uncertainty theory

Cited in

(5)

• Adams predictor-corrector method for solving uncertain differential equation
• Adams-Simpson method for solving uncertain differential equation
• Higher-order derivative of uncertain process and higher-order uncertain differential equation
• Adams method for solving uncertain differential equations
• Improved Milne-Hamming method for resolving high-order uncertain differential equations

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