NUMERICAL METHODS FOR SOLVING SDES CASE STUDY

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.

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Year of publication:	2012
Authors:	Solomon, Ovidiu
Published in:	Romanian Economic Business Review. - Facultatea de Studii ale Integrării Economice Europene, ISSN 1842-2497. - Vol. 6.2012, 2, p. 359-367
Publisher:	Facultatea de Studii ale Integrării Economice Europene
Subject:	stochastic differential equation \| numerical methods \| Langevin equation \| multiplicative noise

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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