Using Weak Bound Simulation for Testing Accuracy of Strong Approximation of Order 2 for Stochastic Differential Equations

摘要

In this paper we aim to test the accuracy of the scheme constructing to calculate the approximate solution at order 2 (Y. Alhojilan, J. Comput. Theor. Nanosci. (in press)). The accuracy test can be done by using weak bound approximation to get bounds in Wasserstein metric. Thesimulation of weak bound would be implemented by two different ways in terms of the time, one we test the accuracy at the final time and the other for the whole path. We would carry out the test by using an invertable and non-invertable diffusion matrix.