Volume 5, Issue 4
Convergence Analysis of a Splitting Method for Stochastic Differential Equations

W. Zhao, L. Tian & L. Ju

DOI:

Int. J. Numer. Anal. Mod., 5 (2008), pp. 673-692

Published online: 2008-05

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  • Abstract

In this paper, we propose a fully drift-implicit splitting numerical scheme for the stochastic differential equations driven by the standard d-dimensional Brownian motion. We prove that its strong convergence rate is of the same order as the standard Euler-Maruyama method. Some numerical experiments are also carried out to demonstrate this property. This scheme allows us to use the latest information inside each iteration in the Euler-Maruyama method so that better approximate solutions could be obtained than the standard approach.

  • Keywords

stochastic differential equation drift-implicit splitting scheme Brownian motion

  • AMS Subject Headings

65C20 65C30

  • Copyright

COPYRIGHT: © Global Science Press

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