TWO-STEP ORDER 3/2 STRONG METHOD FOR APPROXIMATING STOCHASTIC DIFFERENTIAL EQUATIONS
Keywords:
stochastic differential equations, pathwise approximation, Runge-Kutta method, Itô-Taylor expansionDOI:
https://doi.org/10.17654/0974324323001Abstract
In this paper, we consider two-step order strong scheme for getting numerical solutions of stochastic differential equations (SDEs) of order 3/2. It follows a new technique based on replacing stochastic integrals $I_\alpha$ by random variables. Thus we do not need to calculate $I_\alpha$. We employ Itô-Taylor expansion and Runge-Kutta method to get the approximate solutions of the desired order. The experimental results of the approximation method and its error are provided to confirm the validity of the method.
Received: November 5, 2022
Accepted: December 13, 2022
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