IDEAS home Printed from https://ideas.repec.org/a/hin/jnljam/830936.html
   My bibliography  Save this article

Exact Finite-Difference Schemes for -Dimensional Linear Stochastic Systems with Constant Coefficients

Author

Listed:
  • Peng Jiang
  • Xiaofeng Ju
  • Dan Liu
  • Shaoqun Fan

Abstract

The authors attempt to construct the exact finite-difference schemes for linear stochastic differential equations with constant coefficients. The explicit solutions to Itô and Stratonovich linear stochastic differential equations with constant coefficients are adopted with the view of providing exact finite-difference schemes to solve them. In particular, the authors utilize the exact finite-difference schemes of Stratonovich type linear stochastic differential equations to solve the Kubo oscillator that is widely used in physics. Further, the authors prove that the exact finite-difference schemes can preserve the symplectic structure and first integral of the Kubo oscillator. The authors also use numerical examples to prove the validity of the numerical methods proposed in this paper.

Suggested Citation

  • Peng Jiang & Xiaofeng Ju & Dan Liu & Shaoqun Fan, 2013. "Exact Finite-Difference Schemes for -Dimensional Linear Stochastic Systems with Constant Coefficients," Journal of Applied Mathematics, Hindawi, vol. 2013, pages 1-6, November.
    • Handle: RePEc:hin:jnljam:830936
    DOI: 10.1155/2013/830936
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/JAM/2013/830936.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/JAM/2013/830936.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2013/830936?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnljam:830936. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.