Publication:
On the numerical schemes for Langevin-type equations

Simple item page
dc.contributor.authorAkat, Muzaffer
dc.contributor.authorKosker, R.
dc.contributor.authorSirma, A.
dc.contributor.departmentInternational Finance
dc.contributor.ozuauthorAKAT, Muzaffer
dc.date.accessioned2021-03-09T09:16:05Z
dc.date.available2021-03-09T09:16:05Z
dc.date.issued2020
dc.description.abstractIn this paper, a numerical approach is proposed based on the variation-of-constants formula for the numerical discretization Langevin-type equations. Linear and non-linear cases are treated separately. The proofs of convergence have been provided for the linear case, and the numerical implementation has been executed for the non-linear case. The order one convergence for the numerical scheme has been shown both theoretically and numerically. The stability of the numerical scheme has been shown numerically and depicted graphically.en_US
dc.description.versionPublisher versionen_US
dc.identifier.doi10.31489/2020M3/62-74
dc.identifier.endpage74en_US
dc.identifier.issn2518-7929en_US
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85153765416
dc.identifier.startpage62en_US
dc.identifier.urihttp://hdl.handle.net/10679/7373
dc.identifier.urihttps://doi.org/10.31489/2020M3/62-74
dc.identifier.volume99en_US
dc.identifier.wos000580591000007
dc.language.isoengen_US
dc.peerreviewedyesen_US
dc.publicationstatusPublisheden_US
dc.publisherKaraganda Universityen_US
dc.relation.ispartofBulletin Of The Karaganda University-Mathematics
dc.relation.publicationcategoryInternational Refereed Journal
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subject.keywordsDifference schemesen_US
dc.subject.keywordsStochastic oscillatorsen_US
dc.subject.keywordsLangevin equationen_US
dc.subject.keywordsVariation of constantsen_US
dc.titleOn the numerical schemes for Langevin-type equationsen_US
dc.typeArticleen_US
dspace.entity.typePublication
relation.isOrgUnitOfPublicatione7fcb811-af49-4ec2-b289-d39850ce6728
relation.isOrgUnitOfPublication.latestForDiscoverye7fcb811-af49-4ec2-b289-d39850ce6728

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
On the numerical schemes for Langevin-type equations.pdf
Size:
461.76 KB
Format:
Adobe Portable Document Format
Description:
Download

License bundle

Now showing 1 - 1 of 1
Placeholder
Name:
license.txt
Size:
1.45 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

International Finance