Derivation of stochastic Taylor methods for stochastic differential equations

Derivation of stochastic Taylor methods for stochastic differential equations

This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...

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Main Authors: Noor Amalina Nisa, Ariffin, Norhayati, Rosli
Format: Article
Language:English
Published: Penerbit UTM Press 2017
Subjects:
QA Mathematics
Online Access:http://umpir.ump.edu.my/id/eprint/20729/
http://umpir.ump.edu.my/id/eprint/20729/
http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
id ump-20729
recordtype eprints
spelling ump-207292018-08-06T04:34:04Z http://umpir.ump.edu.my/id/eprint/20729/ Derivation of stochastic Taylor methods for stochastic differential equations Noor Amalina Nisa, Ariffin Norhayati, Rosli QA Mathematics This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed. Penerbit UTM Press 2017-07-11 Article PeerReviewed pdf en cc_by_nc_4 http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf Noor Amalina Nisa, Ariffin and Norhayati, Rosli (2017) Derivation of stochastic Taylor methods for stochastic differential equations. Malaysian Journal of Fundamental and Applied Sciences, 13 (3). pp. 159-164. ISSN 2289-5981(print); 2289-599X(online) (Submitted) https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
repository_type Digital Repository
institution_category Local University
institution Universiti Malaysia Pahang
building UMP Institutional Repository
collection Online Access
language English
topic QA Mathematics
spellingShingle QA Mathematics
Noor Amalina Nisa, Ariffin
Norhayati, Rosli
Derivation of stochastic Taylor methods for stochastic differential equations
description This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed.
format Article
author Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_facet Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_sort Noor Amalina Nisa, Ariffin
title Derivation of stochastic Taylor methods for stochastic differential equations
title_short Derivation of stochastic Taylor methods for stochastic differential equations
title_full Derivation of stochastic Taylor methods for stochastic differential equations
title_fullStr Derivation of stochastic Taylor methods for stochastic differential equations
title_full_unstemmed Derivation of stochastic Taylor methods for stochastic differential equations
title_sort derivation of stochastic taylor methods for stochastic differential equations
publisher Penerbit UTM Press
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/20729/
http://umpir.ump.edu.my/id/eprint/20729/
http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
first_indexed 2023-09-18T22:30:04Z
last_indexed 2023-09-18T22:30:04Z
_version_ 1777416226092351488

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