Art

J-GLOBAL ID：201202214985832436   Reference number：12A0101514

The Modified Heun Method for Stochastic Differential Equations

確率微分方程式に対する修正ホイン法

Author (1)： SAITO YOSHIHIRO (岐阜聖徳学園大 経済情報)
Material： 日本応用数理学会論文誌  (Transactions of the Japan Society for Industrial and Applied Mathematics)
Volume： 21  Issue： 4  Page： 323-333  Publication year： Dec. 25, 2011 
JST Material Number： L1010A  ISSN： 0917-2246  Document type： Article
Article type： 短報  Country of issue： Japan (JPN)  Language： JAPANESE (JA)

Thesaurus term： *stochastic differential equation ,  *numerical solution ,  Wiener process ,  method of solution ,  asymptotic stability ,  Runge-Kutta method ,  *stability analysis
Semi thesaurus term： explicit method ,  numerical stability ,  convergence property

JST classification (2)： Fluctuation phenomena,random process,Brownian motion,and transport process  (BA08020B) ,  Numerical computation  (JE02000J)

Reference (13)：

• BRYDEN, A. On the boundedness of asymptotic stability regions for the stochastic theta method. BIT Numerical Mathematics. 2003, 43, 1-6
• BURRAGE, K. High strong order explicit Runge-Kutta methods for stochastic differential equations. Appl. Numer. Math. 1996, 22, 81-101
• GARD, T. C. Introduction to Stochastic Differential Equations. 1988
• HIGHAM, D. J. Mean-square and asymptotic stability of the stochastic theta method. SIAM J. Numer. Anal. 2000, 38, 753-769
• KLOEDEN, P. E. Numerical Solution of Stochastic Differential Equations. 1992

Terms in the title (1)： 確率微分方程式