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
