Algorithmic Solution of Stochastic Differential Equations
نویسندگان
چکیده
منابع مشابه
Algorithmic Solution of Stochastic Differential Equations
This brief note presents an algorithm to solve ordinary stochastic differential equations (SDEs). The algorithm is based on the joint solution of a system of two partial differential equations and provides strong solutions for finite-dimensional systems of SDEs driven by standard Wiener processes and with adapted initial data. Several examples illustrate its use.
متن کاملSolution of fuzzy differential equations
Hybrid system is a dynamic system that exhibits both continuous and discrete dynamic behavior. The hybrid differential equations have a wide range of applications in science and engineering. The hybrid systems are devoted to modeling, design, and validation of interactive systems of computer programs and continuous systems. Hybrid fuzzy differential equations (HFDEs) is considered by ...
متن کاملComputational solution of stochastic differential equations
Stochastic differential equations (SDEs) provide accessible mathematical models that combine deterministic and probabilistic components of dynamic behavior. This article is an overview of numerical solution methods for SDEs. The solutions are stochastic processes that represent diffusive dynamics, a common modeling assumption in many application areas. We include a description of fundamental nu...
متن کاملAn Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler’s method for deterministic differential equations and to have at least an intuitive feel for the concept of a random variable; however, no knowledge of advanced probability theory or stochastic processes is assumed. The article is built aro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Algorithms
سال: 2010
ISSN: 1999-4893
DOI: 10.3390/a3030216