Numerical solution of stochastic differential equations by second order Runge-Kutta methods
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Publication:636478
DOI10.1016/J.MCM.2011.01.018zbMATH Open1219.65009OpenAlexW1988169074MaRDI QIDQ636478FDOQ636478
Mostafa Nouri, Khosrow Maleknejad, Morteza Khodabin, M. Rostami
Publication date: 28 August 2011
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.01.018
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- Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
Cited In (53)
- Solving Ito integral equations with time delay via basis functions
- Numerical solution of nonlinear stochastic differential equations using the block pulse operational matrices
- Euler scheme for solving a class of stochastic differential variational inequalities with some applications
- A spectral collocation method for stochastic Volterra integro-differential equations and its error analysis
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion
- Numerical method for solving linear stochasticIto--Volterra integral equations driven by fractional Brownian motion using hat functions
- An algorithm to estimate parameter in Müntz-Legendre polynomial approximation for the numerical solution of stochastic fractional integro-differential equation
- Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
- Random fractional generalized Airy differential equations: a probabilistic analysis using mean square calculus
- Numerical solution of linear stochastic Volterra integral equations via new basis functions
- A class of second-order Runge-Kutta methods for numerical solution of stochastic differential equations
- Stochastic differential equations with imprecisely defined parameters in market analysis
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- The stochastic second-order perturbation technique in the finite difference method
- Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix
- Modeling the lake eutrophication stochastic ecosystem and the research of its stability
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- Approximate solution of two dimensional linear and nonlinear stochastic Itô-Volterra integral equations via meshless scheme
- Numerical Solution of Shrödinger Equations Based on the Meshless Methods
- Mean square numerical solution of stochastic differential equations by fourth order Runge-Kutta method and its application in the electric circuits with noise
- Mean square solution of Bessel differential equation with uncertainties
- A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
- An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics
- An approximate solution for stochastic Burgers' equation driven by white noise
- An approximation method for stochastic heat equation driven by white noise
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- A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
- Wavelets method for solving nonlinear stochastic Itô-Volterra integral equations
- NUMERICAL SOLUTION OF PERSISTENT PROCESSES-BASED FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS
- Numerical solution of a stochastic population growth model in a closed system
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- Numerical solution of stochastic Itô-Volterra integral equations based on Bernstein multi-scaling polynomials
- A numerical method for solving \(m\)-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
- Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
- Numerical solution of variable‐order stochastic fractional integro‐differential equation with a collocation method based on Müntz–Legendre polynomial
- Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing
- Extending the deterministic Riemann-Liouville and Caputo operators to the random framework: A mean square approach with applications to solve random fractional differential equations
- Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations
- From backward approximations to Lagrange polynomials in discrete advection-reaction operators
- Mean square convergence of the numerical solution of random differential equations
- On the random gamma function: theory and computing
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- Numerical solution of two-dimensional stochastic Fredholm integral equations on hypercube domains via meshfree approach
- Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
- Numerical solution of two-dimensional weakly singular stochastic integral equations on non-rectangular domains via radial basis functions
- Random non-autonomous second order linear differential equations: mean square analytic solutions and their statistical properties
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- A mean square chain rule and its application in solving the random Chebyshev differential equation
- Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients
- Simulating variable-order fractional Brownian motion and solving nonlinear stochastic differential equations
- A mathematical modeling and numerical study for stochastic Fisher–SI model driven by space uniform white noise
- Numerical solution of stochastic Volterra integral equations based on uniform Haar wavelets by using direct method
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