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A new order from the combination of exact coupling and the Euler scheme
AIMS Mathematics 2022, 7(4): 6356-6364
Published: 15 April 2022
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Davie defined a Levy variant and the combination of single random variables to ensure that the diffusion matrix did not degenerate. The use of the method proposed by Davie, which is a combination of the Euler method and the exact combination, was investigated for applying the degenerate Levy diffusion approach to ( B i k ( Y ) ) . We use certain degenerate conditions of diffusion which contribute to order convergence. We also show MATLAB codes to apply the integrated solution to an SDE and observe a convergence behavior. We also evaluate the agreement between the theoretical values and the MATLAB numerical example.

Open Access Correction Issue
A new order from the combination of exact coupling and the Euler scheme
AIMS Mathematics 2022, 7(9): 16387
Published: 15 September 2022
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