Title : ( A family of Chaplygin-type solvers for Itô stochastic differential equations )
Authors: Ali Reza Soheili , Mohammad Amini , F. Soleymani ,
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Abstract
The objective of this study is to contribute a general family for solving Itô-type stochastic ordinary differential equations. The proposed scheme is implicit and comprises a free parameter. Theoretical aspects are provided to show its convergence. The extension of the new approach for the system of stochastic differential equations is also attained.
Keywords
Stochastic differential equations; Chaplygin’s method; Convergence analysis; Banach space; Itô integral;
@article{paperid:1069845,
author = {Soheili, Ali Reza and Amini, Mohammad and F. Soleymani},
title = {A family of Chaplygin-type solvers for Itô stochastic differential equations},
journal = {Applied Mathematics and Computation},
year = {2019},
volume = {340},
number = {1},
month = {January},
issn = {0096-3003},
pages = {296--304},
numpages = {8},
keywords = {Stochastic differential equations; Chaplygin’s method; Convergence analysis; Banach space; Itô integral;},
}
%0 Journal Article
%T A family of Chaplygin-type solvers for Itô stochastic differential equations
%A Soheili, Ali Reza
%A Amini, Mohammad
%A F. Soleymani
%J Applied Mathematics and Computation
%@ 0096-3003
%D 2019
