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AMJCUB
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
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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     
Published: 06 July 2020
CLC:  60H10  
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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.

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


The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms

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 
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