Some moment estimates for new semi-implicit split-step methods

Burhaneddin Izgi; Coşkun Çetin

doi:10.1063/1.4981689

Some moment estimates for new semi-implicit split-step methods

Burhaneddin Izgi, Coşkun Çetin^*

^*Corresponding author for this work

Department of Mathematics Engineering

California State University

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Citations (Scopus)

Abstract

In this work, we introduce alternative numerical procedures based on a combination of split-step and partially implicit methods to solve a class of nonlinear stochastic differential equation that arise from certain physical and financial applications. Considering certain monotonicity and polynomial growth conditions, we focus on the moment estimates of both the actual and the numerical solutions of a generalized version of stochastic Ginzburg-Landau equations.

Original language	English
Title of host publication	II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017
Editors	Ahmet Ocak Akdemir, Alper Ekinci, Ibrahim Han, Aykut Oztekin, Erhan Set, Fatih Dadasoglu, Kenan Karagoz
Publisher	American Institute of Physics Inc.
ISBN (Electronic)	9780735415034
DOIs	https://doi.org/10.1063/1.4981689
Publication status	Published - 25 Apr 2017
Event	2nd International Conference on Advances in Natural and Applied Sciences, ICANAS 2017 - Antalya, Turkey Duration: 18 Apr 2017 → 21 Apr 2017

Publication series

Name	AIP Conference Proceedings
Volume	1833
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	2nd International Conference on Advances in Natural and Applied Sciences, ICANAS 2017
Country/Territory	Turkey
City	Antalya
Period	18/04/17 → 21/04/17

Bibliographical note

Publisher Copyright:
© 2017 Author(s).

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10.1063/1.4981689

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Izgi, B., & Çetin, C. (2017). Some moment estimates for new semi-implicit split-step methods. In A. O. Akdemir, A. Ekinci, I. Han, A. Oztekin, E. Set, F. Dadasoglu, & K. Karagoz (Eds.), II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017 Article 020041 (AIP Conference Proceedings; Vol. 1833). American Institute of Physics Inc.. https://doi.org/10.1063/1.4981689

Izgi, Burhaneddin ; Çetin, Coşkun. / Some moment estimates for new semi-implicit split-step methods. II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017. editor / Ahmet Ocak Akdemir ; Alper Ekinci ; Ibrahim Han ; Aykut Oztekin ; Erhan Set ; Fatih Dadasoglu ; Kenan Karagoz. American Institute of Physics Inc., 2017. (AIP Conference Proceedings).

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abstract = "In this work, we introduce alternative numerical procedures based on a combination of split-step and partially implicit methods to solve a class of nonlinear stochastic differential equation that arise from certain physical and financial applications. Considering certain monotonicity and polynomial growth conditions, we focus on the moment estimates of both the actual and the numerical solutions of a generalized version of stochastic Ginzburg-Landau equations.",

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Izgi, B & Çetin, C 2017, Some moment estimates for new semi-implicit split-step methods. in AO Akdemir, A Ekinci, I Han, A Oztekin, E Set, F Dadasoglu & K Karagoz (eds), II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017., 020041, AIP Conference Proceedings, vol. 1833, American Institute of Physics Inc., 2nd International Conference on Advances in Natural and Applied Sciences, ICANAS 2017, Antalya, Turkey, 18/04/17. https://doi.org/10.1063/1.4981689

Some moment estimates for new semi-implicit split-step methods. / Izgi, Burhaneddin; Çetin, Coşkun.
II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017. ed. / Ahmet Ocak Akdemir; Alper Ekinci; Ibrahim Han; Aykut Oztekin; Erhan Set; Fatih Dadasoglu; Kenan Karagoz. American Institute of Physics Inc., 2017. 020041 (AIP Conference Proceedings; Vol. 1833).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Çetin, Coşkun

PY - 2017/4/25

Y1 - 2017/4/25

N2 - In this work, we introduce alternative numerical procedures based on a combination of split-step and partially implicit methods to solve a class of nonlinear stochastic differential equation that arise from certain physical and financial applications. Considering certain monotonicity and polynomial growth conditions, we focus on the moment estimates of both the actual and the numerical solutions of a generalized version of stochastic Ginzburg-Landau equations.

AB - In this work, we introduce alternative numerical procedures based on a combination of split-step and partially implicit methods to solve a class of nonlinear stochastic differential equation that arise from certain physical and financial applications. Considering certain monotonicity and polynomial growth conditions, we focus on the moment estimates of both the actual and the numerical solutions of a generalized version of stochastic Ginzburg-Landau equations.

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DO - 10.1063/1.4981689

M3 - Conference contribution

AN - SCOPUS:85019217080

T3 - AIP Conference Proceedings

BT - II. International Conference on Advances in Natural and Applied Sciences, ICANAS 2017

A2 - Akdemir, Ahmet Ocak

A2 - Ekinci, Alper

A2 - Han, Ibrahim

A2 - Oztekin, Aykut

A2 - Set, Erhan

A2 - Dadasoglu, Fatih

A2 - Karagoz, Kenan

PB - American Institute of Physics Inc.

T2 - 2nd International Conference on Advances in Natural and Applied Sciences, ICANAS 2017

Y2 - 18 April 2017 through 21 April 2017

ER -

Some moment estimates for new semi-implicit split-step methods

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