Modifying the split-step theta-method with harmonic-mean term for stochastic differential equations

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dc.contributor.affiliationFacultad de Administración y Dirección de Empresas
dc.contributor.affiliationDepartamento de Matemática Aplicada
dc.contributor.affiliationInstituto Universitario de Matemática Multidisciplinar
dc.contributor.authorNouri, Kazemes_ES
dc.contributor.authorRanjbar, Hassanes_ES
dc.contributor.authorCortés, J.-C.
dc.contributor.funderSemnan Universityes_ES
dc.contributor.funderAgencia Estatal de Investigaciónes_ES
dc.contributor.funderIran National Science Foundationes_ES
dc.contributor.funderEuropean Regional Development Fundes_ES
dc.contributor.funderMinisterio de Economía, Industria y Competitividades_ES
dc.date.accessioned2021-03-27T04:31:24Z
dc.date.available2021-03-27T04:31:24Z
dc.date.issued2020es_ES
dc.description.abstract[EN] In this paper, we design a class of general split-step methods for solving Ito stochastic differential systems, in which the drift or deterministic increment function can be taken from special ordinary differential equations solver, based on the harmonic-mean. This method is justified to have a strong convergence order of 1/2. Further, we investigate mean-square stability of the proposed method for linear scalar stochastic differential equation. Finally, some examples are included to demonstrate the validity and efficiency of the introduced scheme.en_EN
dc.description.accrualMethodSes_ES
dc.description.bibliographicCitationNouri, K.; Ranjbar, H.; Cortés, J. (2020). Modifying the split-step theta-method with harmonic-mean term for stochastic differential equations. International Journal of Numerical Analysis and Modeling. 17(5):662-678. https://riunet.upv.es/handle/10251/164481es_ES
dc.description.issue5es_ES
dc.description.sponsorshipThis research was in part supported by the Research Council of Semnan University, and in part by a grant 97007950 from Iran National Science Foundation (INSF). Also, the third author acknowledges the support by the Spanish Ministerio de Economia, Industria y Competitividad (MINECO), the Agencia Estatal de Investigacion (AEI) and Fondo Europeo de Desarrollo Regional (FEDER UE) grant MTM2017-89664-P. The authors are grateful to the anonymous reviewers for their careful reading, insightful comments and helpful suggestions which have led to improvement of the paper.es_ES
dc.description.upvformatpfin678es_ES
dc.description.upvformatpinicio662es_ES
dc.description.volume17es_ES
dc.identifier.issn1705-5105es_ES
dc.identifier.urihttps://riunet.upv.es/handle/10251/164481
dc.languageIngléses_ES
dc.relation.ispartofInternational Journal of Numerical Analysis and Modelinges_ES
dc.relation.pasarelaS\414987es_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/INSF//97007950/es_ES
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/es_ES
dc.relation.publisherversionhttps://global-sci.org/ijnam.htmles_ES
dc.rightsReserva de todos los derechoses_ES
dc.rights.accessRightsAbiertoes_ES
dc.subjectIto stochastic differential systemes_ES
dc.subjectSplit-step methodes_ES
dc.subjectODE solveres_ES
dc.subjectHarmonic-meanes_ES
dc.subjectStrong convergencees_ES
dc.subjectMean-square stabilityes_ES
dc.subject.classificationMATEMATICA APLICADAes_ES
dc.titleModifying the split-step theta-method with harmonic-mean term for stochastic differential equationses_ES
dc.typeArtículoes_ES
dc.type.versioninfo:eu-repo/semantics/publishedVersiones_ES
dspace.entity.typePublication
person.identifier11216
person.identifier.orcid0000-0002-6528-2155
relation.isAuthorOfPublication60b57e79-92a8-4058-a79f-f265e34e942d
relation.isAuthorOfPublication.latestForDiscovery60b57e79-92a8-4058-a79f-f265e34e942d
relation.isOrgUnitOfPublication67c03db1-c7ed-41d2-8506-f61e5b5de340
relation.isOrgUnitOfPublication1062a9b0-be7f-4afa-a1a1-1bbd944e9165
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upv.uuid4b039ccd-d5af-4a0d-975f-edbf83471856es_ES

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