Title: Construction of some accelerated methods for solving scalar stochastic differential equations

Authors: Ali R. Soheili; Fazlollah Soleymani

Addresses: Department of Applied Mathematics, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran ' Department of Applied Mathematics, Faculty of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

Abstract: The purpose of this short communication is to contribute in constructing some new solvers for the strong solution of stochastic ordinary differential equations. It is derived that new methods could be obtained as new variants of the high order scheme of Platen (1987). A simple technique to accelerate their speed will also be pointed out. Finally, numerical simulations are brought forward to show the efficiency of the derived methods.

Keywords: numerical simulation; stochastic differential equations; scalar SDEs; derivative-free; strong solutions.

DOI: 10.1504/IJCSM.2016.081680

International Journal of Computing Science and Mathematics, 2016 Vol.7 No.6, pp.537 - 547

Received: 14 Oct 2014
Accepted: 23 Aug 2015
Published online: 20 Jan 2017 *

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