Improvement of Split-Step Forward Milstein Schemes for SODEs Arising in Mathematical Physics
Mathematical Problems in Engineering
; 2022, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1932845
ABSTRACT
In the present investigation, new explicit approaches by the Milstein method and increment function of the Jacobian derivative of the drift coefficient are designed. Several numerical tests such as Cox–Ingersoll–Ross process, stochastic Brusselator, and Davis-Skodje system are presented to illustrate the accuracy and the efficiency of our schemes. Furthermore, we show that the strong convergence rate of our procedures is approximately one.
Full text:
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Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Mathematical Problems in Engineering
Year:
2022
Document Type:
Article
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