A revisit of stochastic theta method with some improvements | Zendy

Fazlollah Soleymani | Zendy; Ali Reza Soheili | Zendy

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A revisit of stochastic theta method with some improvements

Author(s) -

Fazlollah Soleymani,

Ali Reza Soheili

Publication year - 2017

Publication title -

filomat

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.449

H-Index - 34

eISSN - 2406-0933

pISSN - 0354-5180

DOI - 10.2298/fil1703585s

Subject(s) - mathematics , stochastic differential equation , stability (learning theory) , work (physics) , mathematical optimization , computer science , machine learning , mechanical engineering , engineering

Considering the stochastic theta method, in this work we construct a modified solver for finding the solution of It$\hat{\text{o}}$ stochastic differential equations in the strong sense. It is discussed that the proposed variation is implicit with a better stability behavior as well as a higher order of convergence. Finally, the derived methods from the scheme are tested numerically to confirm their efficiency.

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