Studying Some Stochastic Differential Equations with trigonometric terms with Application

Autor:	Abdulghafoor Jasim Salim , Ali A. Asmael
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	trigonometric stochastic differential equations euler-maruyama technique milstein method. Technology Science
Zdroj:	Zanco Journal of Pure and Applied Sciences, Vol 34, Iss s6 (2022)
Druh dokumentu:	article
ISSN:	2218-0230 2412-3986
DOI:	10.21271/ZJPAS.34.s6.13
Popis:	In this paper we look at several (trigonometric) stochastic differential equations, we find the general form for such nonlinear stochastic differential equation by using the I'to formula. Then we find the exact solution for the different trigonometric stochastic differential equations by the use of stochastic integrals. Ilustrate the approach with various examples. (Precise solution using the Ito integral formula) and approximate solution (numerical approximation (the Euler-Maruyama technique and the Milstein method) were compared to the exact solutions with the error of those approaches
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/6ac7310dd633499a97c900b6a6da23a4 Zobrazit plný text záznamu View record in DOAJ