In this work we focus on the development of continuous extension of Euler-Maruyama method, which is used to numerically approximate the solution of Stochastic Differential Equations (SDEs). We aim to provide an approximation of a given SDE in terms of a piecewise polynomial, because, as it is known in the deterministic case, a dense output allows to provide a more efficient error estimate and it is very effective for a variable step-size implementation. Hence, this contribution aims to provide a first building block in such directions, consisting in the development of the scheme.
Titolo: | Continuous Extension of Euler-Maruyama Method for Stochastic Differential Equations | |
Autori: | ||
Data di pubblicazione: | 2021 | |
Handle: | http://hdl.handle.net/11697/176574 | |
ISBN: | 978-3-030-86652-5 | |
Appare nelle tipologie: | 2.1 Contributo in volume (Capitolo o Saggio) |
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