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2018 The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method
Yousef Alnafisah
Abstr. Appl. Anal. 2018: 1-7 (2018). DOI: 10.1155/2018/3805042

Abstract

Multiple stochastic integrals of higher multiplicity cannot always be expressed in terms of simpler stochastic integrals, especially when the Wiener process is multidimensional. In this paper we describe how the Fourier series expansion of Wiener process can be used to simulate a two-dimensional stochastic differential equation (SDE) using Matlab program. Our numerical experiments use Matlab to show how our truncation of Itô’-Taylor expansion at an appropriate point produces Milstein method for the SDE.

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Yousef Alnafisah. "The Implementation of Milstein Scheme in Two-Dimensional SDEs Using the Fourier Method." Abstr. Appl. Anal. 2018 1 - 7, 2018. https://doi.org/10.1155/2018/3805042

Information

Received: 23 January 2018; Revised: 29 March 2018; Accepted: 5 April 2018; Published: 2018
First available in Project Euclid: 13 June 2018

zbMATH: 06929585
MathSciNet: MR3804851
Digital Object Identifier: 10.1155/2018/3805042

Rights: Copyright © 2018 Hindawi

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