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Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients
Joint Authors
Jiang, Peng
Liu, Dan
Fan, Shaoqun
Ju, Xiaofeng
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-11-26
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
The authors attempt to construct the exact finite-difference schemes for linear stochastic differential equations with constant coefficients.
The explicit solutions to Itô and Stratonovich linear stochastic differential equations with constant coefficients are adopted with the view of providing exact finite-difference schemes to solve them.
In particular, the authors utilize the exact finite-difference schemes of Stratonovich type linear stochastic differential equations to solve the Kubo oscillator that is widely used in physics.
Further, the authors prove that the exact finite-difference schemes can preserve the symplectic structure and first integral of the Kubo oscillator.
The authors also use numerical examples to prove the validity of the numerical methods proposed in this paper.
American Psychological Association (APA)
Jiang, Peng& Ju, Xiaofeng& Liu, Dan& Fan, Shaoqun. 2013. Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-501605
Modern Language Association (MLA)
Jiang, Peng…[et al.]. Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients. Journal of Applied Mathematics No. 2013 (2013), pp.1-6.
https://search.emarefa.net/detail/BIM-501605
American Medical Association (AMA)
Jiang, Peng& Ju, Xiaofeng& Liu, Dan& Fan, Shaoqun. Exact Finite-Difference Schemes for d-Dimensional Linear Stochastic Systems with Constant Coefficients. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-501605
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-501605