Convergence of Composite Euler Method for Solving Stochastic Differential Equations
Journal Title: 河南科技大学学报（自然科学版） - Year 2019, Vol 40, Issue 2
Abstract
By improving the trapezoidal Euler-Maruyama method for solving scalar autonomous stochastic differential equations, the composite Euler method was obtained. When the two coefficients of stochastic differential equation with multiplicative noise both satisfied the global Lipschitz condition and the linear growth condition, it was proved that the mean square strong convergence order of the composite Euler method was 0. 5, and the convergence of the method was verified by numerical experiments. The results of numerical experiments show that the numerical solution obtained by the composite Euler method has a better approximation effect than the numerical solution obtained by the trapezoidal Euler-Maruyama method.
Authors and Affiliations
Caixia WANG, Yindi ZHANG, Qian JIANG
Keywords
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- EP ID EP422483
- DOI 10.15926/j.cnki.issn1672-6871.2019.02.017
- Views 60
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