Derivation of stochastic Taylor methods for stochastic differential equations

This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...

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Main Authors:	Noor Amalina Nisa, Ariffin, Norhayati, Rosli
Format:	Article
Language:	English
Published:	Penerbit UTM Press 2017
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf http://umpir.ump.edu.my/id/eprint/20729/ https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
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Institution:	Universiti Malaysia Pahang
Language:	English

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spelling	my.ump.umpir.207292018-08-06T04:34:04Z http://umpir.ump.edu.my/id/eprint/20729/ Derivation of stochastic Taylor methods for stochastic differential equations Noor Amalina Nisa, Ariffin Norhayati, Rosli QA Mathematics This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed. Penerbit UTM Press 2017-07-11 Article PeerReviewed pdf en cc_by_nc_4 http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf Noor Amalina Nisa, Ariffin and Norhayati, Rosli (2017) Derivation of stochastic Taylor methods for stochastic differential equations. Malaysian Journal of Fundamental and Applied Sciences, 13 (3). pp. 159-164. ISSN 2289-5981(print); 2289-599X(online) (Submitted) https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
institution	Universiti Malaysia Pahang
building	UMP Library
collection	Institutional Repository
continent	Asia
country	Malaysia
content_provider	Universiti Malaysia Pahang
content_source	UMP Institutional Repository
url_provider	http://umpir.ump.edu.my/
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Noor Amalina Nisa, Ariffin Norhayati, Rosli Derivation of stochastic Taylor methods for stochastic differential equations
description	This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed.
format	Article
author	Noor Amalina Nisa, Ariffin Norhayati, Rosli
author_facet	Noor Amalina Nisa, Ariffin Norhayati, Rosli
author_sort	Noor Amalina Nisa, Ariffin
title	Derivation of stochastic Taylor methods for stochastic differential equations
title_short	Derivation of stochastic Taylor methods for stochastic differential equations
title_full	Derivation of stochastic Taylor methods for stochastic differential equations
title_fullStr	Derivation of stochastic Taylor methods for stochastic differential equations
title_full_unstemmed	Derivation of stochastic Taylor methods for stochastic differential equations
title_sort	derivation of stochastic taylor methods for stochastic differential equations
publisher	Penerbit UTM Press
publishDate	2017
url	http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf http://umpir.ump.edu.my/id/eprint/20729/ https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
_version_	1643668952273911808

Derivation of stochastic Taylor methods for stochastic differential equations

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