Numerical solution of Degenerate Fourth Order SDE Model by Milstein scheme

Author(s):

Daryoush Kalvand * , Esmaeil Yousefi

Message:
Article Type:
Research/Original Article (بدون رتبه معتبر)
Abstract:

In this paper, we use a Milstein scheme to develop a numerical technique for solving Stochastic differential equation which we had its deterministic form in our last article cite{Tepological}, we discuss the existence and uniqueness solution of deterministic and stochastic form, and then we show the advantages of the method with numerical example.

Keywords:

Milstein scheme , Lax-Milgram Lemma , Degenerate Differential-Equation , Stochastic Differential Equation

Language:
English
Published:
Analytical and Numerical Solutions for Nonlinear Equations, Volume:6 Issue: 1, Summer and Autumn 2021
Pages:
59 to 71
https://www.magiran.com/p2311736  
سامانه نویسندگان
  • Yousefi، Esmaeil
    Author (2)
    Yousefi, Esmaeil
    Assistant Professor Math Education, Science And Research Branch, Islamic Azad University, تهران, Iran
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