The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method
Author
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-05-10
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
Multiple stochastic integrals of higher multiplicity cannot always be expressed in terms of simpler stochastic integrals, especially when the Wiener process is multidimensional.
In this paper we describe how the Fourier series expansion of Wiener process can be used to simulate a two-dimensional stochastic differential equation (SDE) using Matlab program.
Our numerical experiments use Matlab to show how our truncation of Itô’-Taylor expansion at an appropriate point produces Milstein method for the SDE.
American Psychological Association (APA)
Alnafisah, Yousef. 2018. The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method. Abstract and Applied Analysis،Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1114267
Modern Language Association (MLA)
Alnafisah, Yousef. The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method. Abstract and Applied Analysis No. 2018 (2018), pp.1-7.
https://search.emarefa.net/detail/BIM-1114267
American Medical Association (AMA)
Alnafisah, Yousef. The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method. Abstract and Applied Analysis. 2018. Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1114267
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1114267