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Some derivative-free solvers for numerical solution of SODEs

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Abstract

In this paper, some variants of stochastic solvers free from derivatives for It\(\hat{\text {o}}\) stochastic ordinary differential equations (SODEs) are given. The derived strong variants are convergent and explicit. Then, some implicit solvers are also proposed. Numerical results are reported for confirming convergence properties and for comparing the behavior of these methods for pathwise approximation of SODEs.

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Authors and Affiliations

  1. The Center of Excellence on Modelling and Control Systems, Ferdowsi University of Mashhad, Mashhad, Iran

    Ali R. Soheili

  2. Department of Applied Mathematics, School of Mathematical Sciences, Ferdowsi University of Mashhad, Mashhad, Iran

    F. Soleymani

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  1. Ali R. Soheili
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  2. F. Soleymani
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Correspondence to F. Soleymani.

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Soheili, A.R., Soleymani, F. Some derivative-free solvers for numerical solution of SODEs. SeMA 68, 17–27 (2015). https://doi.org/10.1007/s40324-015-0030-4

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  • DOI: https://doi.org/10.1007/s40324-015-0030-4

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