Simulation & Stochastic Differential Equations
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Numerical solution and simulation of random differential equations with Wiener and compound Poisson Processes
Ordinary differential equations(ODEs) with stochastic processes in their vector field, have lots of applications in science and engineering. The main purpose of this article is to investigate the numerical methods for ODEs with Wiener and Compound Poisson processes in more than one dimension. Ordinary differential equations with Ito diffusion which is a solution of an Ito stochastic differentia...
متن کاملSimulating and Forecasting OPEC Oil Price Using Stochastic Differential Equations
The main purpose of this paper is to provide a quantitative analysis to investigate the behavior of the OPEC oil price. Obtaining the best mathematical equation to describe the price and volatility of oil has a great importance. Stochastic differential equations are one of the best models to determine the oil price, because they include the random factor which can apply the effect of different ...
متن کاملA wavelet method for stochastic Volterra integral equations and its application to general stock model
In this article,we present a wavelet method for solving stochastic Volterra integral equations based on Haar wavelets. First, we approximate all functions involved in the problem by Haar Wavelets then, by substituting the obtained approximations in the problem, using the It^{o} integral formula and collocation points then, the main problem changes into a system of linear or nonlinear equation w...
متن کاملProposing A stochastic model for spread of corona virus dynamics in Nigeria
The emergence of corona virus (COVID-19) has create a great public concern as the outbreak is still ongoing and government are taking actions such as holiday extension, travel restriction, temporary closure of public work place, borders, schools, quarantine/isolation, social distancing and so on. To mitigate the spread, we proposed and analyzed a stochastic model for the continue spread of coro...
متن کاملSimulating Exchange Rate Volatility in Iran Using Stochastic Differential Equations
The main purpose of this paper is to analyze the exchange rate volatility in Iran in the time period between 2011/11/27 and 2017/02/25 on a daily basis. As a tradable asset and as an important and effective economic variable, exchange rate plays a decisive role in the economy of a country. In a successful economic management, the modeling and prediction of the exchange rate volatility is esse...
متن کاملApplication of DJ method to Ito stochastic differential equations
This paper develops iterative method described by [V. Daftardar-Gejji, H. Jafari, An iterative method for solving nonlinear functional equations, J. Math. Anal. Appl. 316 (2006) 753-763] to solve Ito stochastic differential equations. The convergence of the method for Ito stochastic differential equations is assessed. To verify efficiency of method, some examples are ex...
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تاریخ انتشار 2008