ON THE EULER-MARUYAMA AND MILSTEIN METHODS FOR APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

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BARID LOGHMANI G; MOHSENI M

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Paper Information

Journal: JOURNAL OF SCIENCE (UNIVERSITY OF TEHRAN) (JSUT) Year:2004 | Volume:30 | Issue:1 Page(s): 23-31

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Information Journal Paper

Title

ON THE EULER-MARUYAMA AND MILSTEIN METHODS FOR APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s)

BARID LOGHMANI G | MOHSENI M | Issue Writer Certificate

Keywords

STOCHASTIC DIFFRERNTIAL EQUATIONSQ4

ITO INTEGRALQ4

WIENER PROCESSQ4

WHITE NOISEQ4

Abstract

We will introduce the Euler-Maruyama and Milstein Methods. By using pseudo-random number and implementing the ITO INTEGRAL we will present an efficient algorithm for the pathwise numerical approximation of solutions to stochastic differential equations.In the last section we will show the efficiency of the algorithm by presenting the numerical results for some test problems.

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APA: Copy

BARID LOGHMANI, G, & MOHSENI, M. (2004). ON THE EULER-MARUYAMA AND MILSTEIN METHODS FOR APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS. JOURNAL OF SCIENCE (UNIVERSITY OF TEHRAN) (JSUT), 30(1), 23-31. SID. https://sid.ir/paper/2142/en

Vancouver: Copy

BARID LOGHMANI G, MOHSENI M. ON THE EULER-MARUYAMA AND MILSTEIN METHODS FOR APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS. JOURNAL OF SCIENCE (UNIVERSITY OF TEHRAN) (JSUT)[Internet]. 2004;30(1):23-31. Available from: https://sid.ir/paper/2142/en

IEEE: Copy

G BARID LOGHMANI, and M MOHSENI, “ON THE EULER-MARUYAMA AND MILSTEIN METHODS FOR APPROXIMATION OF STOCHASTIC DIFFERENTIAL EQUATIONS,” JOURNAL OF SCIENCE (UNIVERSITY OF TEHRAN) (JSUT), vol. 30, no. 1, pp. 23–31, 2004, [Online]. Available: https://sid.ir/paper/2142/en

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