NUMERICAL METHODS FOR SOLVING SDES CASE STUDY

Ovidiu Solomon ()
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Ovidiu Solomon: Romanian-American University, Bucharest

Journal of Information Systems & Operations Management, 2012, vol. 6, issue 2, 359-367

Abstract: The Euler - Maruyama and Milstein methods are applied to approximate the solution of linearly Langevin equation with multiplicative noise. The exact solution is obtained by applying the Ito's lemma. It is worth mentioning that not always the discretization used to find the solutions of SDEs (Stochastic Differential Equations) leads to a convenient convergence when the discretization step tends to zero.

Keywords: stochastic differential equation; numerical methods; Langevin equation; multiplicative noise (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:rau:jisomg:v:6:y:2012:i:2:p:359-367

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