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Applied Mathematics-A Journal of Chinese Universities  2020, Vol. 35 Issue (2): 166-183    DOI: 10.1007/s11766-020-3663-8
    
The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms
Yousef Alnafisah
Mathematics Department, College of Science, Qassim University, P.O.Box 6644, Buraydah 51452, Saudi Arabia
The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms
Yousef Alnafisah
Mathematics Department, College of Science, Qassim University, P.O.Box 6644, Buraydah 51452, Saudi Arabia
 全文: PDF 
摘要： We explain and prove some lemmas of the approximate coupling and we give some
details of the Matlab implementation of this method. A particular invertible SDEs is used to
show the convergence result for this method for general d, which will give an order one error bounds.
关键词： stochastic differential equation;  milstein method;  euler method    
Abstract: We explain and prove some lemmas of the approximate coupling and we give some
details of the Matlab implementation of this method. A particular invertible SDEs is used to
show the convergence result for this method for general d, which will give an order one error bounds.
Key words: stochastic differential equation    milstein method    euler method
出版日期: 2020-07-06
CLC:  60H10  
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引用本文:

Yousef Alnafisah. The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms[J]. Applied Mathematics-A Journal of Chinese Universities, 2020, 35(2): 166-183.

Yousef Alnafisah. The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms. Applied Mathematics-A Journal of Chinese Universities, 2020, 35(2): 166-183.

链接本文:

http://www.zjujournals.com/amjcub/CN/10.1007/s11766-020-3663-8    或    http://www.zjujournals.com/amjcub/CN/Y2020/V35/I2/166

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