Explicit order 32 Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion

DOI10.1515/MATH-2019-0124MaRDI QIDQ2189180zbMATH OpenOpenAlexFDO

Authors Yazid Alhojilan

Publication date 15 June 2020

Published in Open Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/math-2019-0124

zbMATH Keywords

Itô-Taylor expansionpathwise approximationRunge-Kutta methodstochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cites work

• An approximation of partial sums of independent RV'-s, and the sample DF. I
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• On the simulation of iterated Itô integrals.
• Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme
• Random Generation of Stochastic Area Integrals
• The algebra of iterated stochastic integrals
• Upper bounds for minimal distances in the central limit theorem

Cited in

(2)

• Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme
• scientific article; zbMATH DE number 1380706 (Why is no real title available?)

Describes a project that uses

Uses Software

• Matlab

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