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

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

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Nombre: Nouri;Ranjbar;Cortés ...
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dc.contributor.author Nouri, Kazem es_ES
dc.contributor.author Ranjbar, Hassan es_ES
dc.contributor.author Cortés, J.-C. es_ES
dc.date.accessioned 2021-03-27T04:31:24Z
dc.date.available 2021-03-27T04:31:24Z
dc.date.issued 2020 es_ES
dc.identifier.issn 1705-5105 es_ES
dc.identifier.uri http://hdl.handle.net/10251/164481
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. es_ES
dc.description.sponsorship This 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.language Inglés es_ES
dc.relation.ispartof International Journal of Numerical Analysis and Modeling es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Ito stochastic differential system es_ES
dc.subject Split-step method es_ES
dc.subject ODE solver es_ES
dc.subject Harmonic-mean es_ES
dc.subject Strong convergence es_ES
dc.subject Mean-square stability es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title Modifying the split-step theta-method with harmonic-mean term for stochastic differential equations es_ES
dc.type Artículo es_ES
dc.relation.projectID info:eu-repo/grantAgreement/INSF//97007950/ es_ES
dc.relation.projectID info: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.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Nouri, 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. http://hdl.handle.net/10251/164481 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://global-sci.org/ijnam.html es_ES
dc.description.upvformatpinicio 662 es_ES
dc.description.upvformatpfin 678 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 17 es_ES
dc.description.issue 5 es_ES
dc.relation.pasarela S\414987 es_ES
dc.contributor.funder Semnan University es_ES
dc.contributor.funder Agencia Estatal de Investigación es_ES
dc.contributor.funder Iran National Science Foundation es_ES
dc.contributor.funder European Regional Development Fund es_ES
dc.contributor.funder Ministerio de Economía, Industria y Competitividad es_ES


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