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A new approximation method for solving stochastic differential equations

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arxiv 2407.19350 v2 pith:2L7LRX2S submitted 2024-07-27 math.NA cs.NA

Faezeh Nassajian Mojarrad This is my paper · ORCID
classification math.NAcs.NA
keywords methodstochasticapproximationdifferentialequationsanalyzedconsistencyconvergence
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We present a novel solution method for It\^o stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main properties of the stochastic numerical methods, e.g. convergence, consistency, and stability are analyzed. We test the proposed method in SDE problem, demonstrating promising results.

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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Generalized Finite Difference Method for Solving Stochastic Diffusion Equations

    math.NA 2024-11 conditional novelty 5.0 of 10

    Generalized finite difference discretization plus Euler-Maruyama time stepping is analyzed and tested for stochastic diffusion equations in mean square.

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