| ชื่อเรื่อง | : | A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise |
| นักวิจัย | : | Wang, Xiaojie , Gan, Siqing , Wang, Desheng |
| คำค้น | : | - |
| หน่วยงาน | : | Nanyang Technological University, Singapore |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2555 |
| อ้างอิง | : | Wang, X., Gan, S.,& Wang, D. (2012). A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise. BIT Numerical Mathematics, 52(3), 741-772. , http://hdl.handle.net/10220/12699 , http://dx.doi.org/10.1007/s10543-012-0370-8 |
| ที่มา | : | - |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | BIT numerical mathematics |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | In this paper a family of fully implicit Milstein methods are introduced for solving stiff stochastic differential equations (SDEs). It is proved that the methods are convergent with strong order 1.0 for a class of SDEs. For a linear scalar test equation with multiplicative noise terms, mean-square and almost sure asymptotic stability of the methods are also investigated. We combine analytical and numerical techniques to get insights into the stability properties. The fully implicit methods are shown to be superior to those of the corresponding semi-implicit methods in term of stability property. Finally, numerical results are reported to illustrate the convergence and stability results. |
| บรรณานุกรม | : |
Wang, Xiaojie , Gan, Siqing , Wang, Desheng . (2555). A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise.
กรุงเทพมหานคร : Nanyang Technological University, Singapore. Wang, Xiaojie , Gan, Siqing , Wang, Desheng . 2555. "A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise".
กรุงเทพมหานคร : Nanyang Technological University, Singapore. Wang, Xiaojie , Gan, Siqing , Wang, Desheng . "A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise."
กรุงเทพมหานคร : Nanyang Technological University, Singapore, 2555. Print. Wang, Xiaojie , Gan, Siqing , Wang, Desheng . A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise. กรุงเทพมหานคร : Nanyang Technological University, Singapore; 2555.
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