Studying mean-square stability of numerical method applied for solving models of stochastic differential equations

Authors

  • Suliman Mahmood
  • Ahmad Al-Wassouf
  • Ali Ehsaan

Abstract

In this paper, Herimte approximations with two collocation points are used for the numerical simulation of stochastic of differential equations (SDE), and continuous wiener processes are computed by computer discrete simulations.  The mean-square stability was studied by applying the proposed technique with the Wiener process on a test stochastic differential equation.

The study shows that the proposed method is mean-square stability, strongly convergent from order third and locates large stability regions of method at the real plane.

Moreover, the scheme is tested on three problems to illustrate the applicability and efficiency of the purposed technique. Comparisons of our results with others methods, it reveals that our method is better than others.

 

 

Downloads

Published

2019-11-07

How to Cite

1.
Mahmood S, Al-Wassouf A, Ehsaan A. Studying mean-square stability of numerical method applied for solving models of stochastic differential equations. TUJ-BA [Internet]. 2019Nov.7 [cited 2024Nov.24];41(5). Available from: https://journal.tishreen.edu.sy/index.php/bassnc/article/view/9210

Issue

Vol. 41 No. 5 (2019): العلوم الأساسية

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

The authors retain the copyright and grant the right to publish in the magazine for the first time with the transfer of the commercial right to the Tishreen University Journal -Basic Sciences Series  

 Under a CC BY- NC-SA 04 license that allows others to share the work with of the work's authorship and initial publication in this journal. Authors can use a copy of their articles in their scientific activity, and on their scientific websites, provided that the place of publication is indicted in Tishreen University Journal -Basic Sciences Series .  The Readers have the right to send, print and subscribe to the initial version of the article, and the title of Tishreen University Journal -Basic Sciences Series   Publisher

 

journal uses a CC BY-NC-SA license which mean

You are free to:

  • Adapt — remix, transform, and build upon the material
  •  
  • The licensor cannot revoke these freedoms as long as you follow the license terms.

 

  • Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
  • NonCommercial — You may not use the material for commercial purposes.
  • ShareAlike — If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original.
  • No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.