Abstract
The key difficulty to develop efficient high-order methods for integrating stochastic differential equations lies in the calculations of the multiple stochastic integrals. This letter suggests a scheme to compute the stochastic integrals for the colored noises based on the white noise representation. The multiple stochastic integrals involving one and two stationary noises can be conveniently generated together with noises using the discrete Fourier transformation. Based on the calculated stochastic integrals, we obtain simple fourth-order and third-order strong methods for equations with a single and multiple noises, respectively. Numerical tests verify the accuracy of the suggested methods.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
