On the numerical schemes for Langevin-type equations

Name: On the numerical schemes for Langevin-type equations
Author: Akat, Muzaffer, Kosker, R., Sirma, A.

İsim	On the numerical schemes for Langevin-type equations
Yazar	Akat, Muzaffer, Kosker, R., Sirma, A.
Basım Tarihi:	2020
Basım Yeri	- Karaganda University
Konu	Difference schemes, Stochastic oscillators, Langevin equation, Variation of constants
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	2518-7929
Kayıt Numarası	00c8d59a-d307-4807-b8fd-e0c27421dcf0
Lokasyon	International Finance
Tarih	2020
Örnek Metin	In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.
DOI	10.31489/2020M3/62-74
Cilt	99

Kaynağa git Özyeğin Üniversitesi

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Özyeğin Üniversitesi

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On the numerical schemes for Langevin-type equations

Yazar Akat, Muzaffer, Kosker, R., Sirma, A.

Basım Tarihi 2020

Basım Yeri - Karaganda University

Konu Difference schemes, Stochastic oscillators, Langevin equation, Variation of constants

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 2518-7929

Kayıt Numarası 00c8d59a-d307-4807-b8fd-e0c27421dcf0

Lokasyon International Finance

Tarih 2020

Örnek Metin In this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.

DOI 10.31489/2020M3/62-74

Cilt 99