A stochastic scheme of approximation for ordinary differential equations
نویسندگان
چکیده
منابع مشابه
A Stochastic Scheme of Approximation for Ordinary Differential Equations
In this note we provide a stochastic method for approximating solutions of ordinary differential equations. To this end, a stochastic variant of the Euler scheme is given by means of Markov chains. For an ordinary differential equation, these approximations are shown to satisfy a Large Number Law, and a Central Limit Theorem for the corresponding fluctuations about the solution of the different...
متن کاملstrong approximation for itô stochastic differential equations
in this paper, a class of semi-implicit two-stage stochastic runge-kutta methods (srks) of strong global order one, with minimum principal error constants are given. these methods are applied to solve itô stochastic differential equations (sdes) with a wiener process. the efficiency of this method with respect to explicit two-stage itô runge-kutta methods (irks), it method, milstien method, sem...
متن کاملApproximation of stochastic advection diffusion equations with finite difference scheme
In this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm Ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. We applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. The main properties of deterministic difference schemes,...
متن کاملapproximation of stochastic advection diffusion equations with finite difference scheme
in this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. we applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. the main properties of deterministic difference schemes,...
متن کاملA Genetic Programming-based Scheme for Solving Fuzzy Differential Equations
This paper deals with a new approach for solving fuzzy differential equations based on genetic programming. This method produces some trial solutions and seeks the best of them. If the solution cannot be expressed in a closed analytical form then our method produces an approximation with a controlled level of accuracy. Furthermore, the numerical results reveal the potential of the proposed appr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2008
ISSN: 1083-589X
DOI: 10.1214/ecp.v13-1341