A family of Chaplygin-type solvers for Itô stochastic differential equations

Ali R. Soheili, Mohammad Amini and Fazlollah Soleymani

Applied Mathematics and Computation, 2019, vol. 340, issue C, 296-304

Abstract: The objective of this study is to contribute a general family for solving Itô-type stochastic ordinary differential equations. The proposed scheme is implicit and comprises a free parameter. Theoretical aspects are provided to show its convergence. The extension of the new approach for the system of stochastic differential equations is also attained.

Keywords: Stochastic differential equations; Chaplygin’s method; Convergence analysis; Banach space; Itô integral (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:340:y:2019:i:c:p:296-304

DOI: 10.1016/j.amc.2018.08.038

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