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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| Format: | Article |
| Language: | en |
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Penerbit UTM Press
2017
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| Online Access: | http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf http://umpir.ump.edu.my/id/eprint/20729/ https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf |
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| author | Noor Amalina Nisa, Ariffin Norhayati, Rosli |
| author_facet | Noor Amalina Nisa, Ariffin Norhayati, Rosli |
| author_sort | Noor Amalina Nisa, Ariffin |
| building | UMPSA Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaysia Pahang Al-Sultan Abdullah |
| content_source | UMPSA Institutional Repository |
| continent | Asia |
| country | Malaysia |
| 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 |
| id | my.ump.umpir.20729 |
| institution | Universiti Malaysia Pahang |
| language | en |
| publishDate | 2017 |
| publisher | Penerbit UTM Press |
| record_format | eprints |
| spelling | my.ump.umpir.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) (Submitted) https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf |
| spellingShingle | QA Mathematics Noor Amalina Nisa, Ariffin Norhayati, Rosli Derivation of stochastic Taylor methods for stochastic differential equations |
| title | 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_short | Derivation of stochastic Taylor methods for stochastic differential equations |
| title_sort | derivation of stochastic taylor methods for stochastic differential equations |
| topic | QA Mathematics |
| url | http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf http://umpir.ump.edu.my/id/eprint/20729/ https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf |
| url_provider | http://umpir.ump.edu.my/ |