Studying Some Stochastic Differential Equations with trigonometric terms with Application
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 us...
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| Format: | Article |
| Language: | English |
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Salahaddin University-Erbil
2022-12-01
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| Series: | Zanco Journal of Pure and Applied Sciences |
| Subjects: | |
| Online Access: | https://zancojournal.su.edu.krd/index.php/JPAS/article/view/1258 |
| _version_ | 1797369730463432704 |
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| author | Abdulghafoor Jasim Salim , Ali A. Asmael |
| author_facet | Abdulghafoor Jasim Salim , Ali A. Asmael |
| author_sort | Abdulghafoor Jasim Salim , Ali A. Asmael |
| collection | DOAJ |
| description | 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 |
| first_indexed | 2024-03-08T17:52:10Z |
| format | Article |
| id | doaj.art-6ac7310dd633499a97c900b6a6da23a4 |
| institution | Directory Open Access Journal |
| issn | 2218-0230 2412-3986 |
| language | English |
| last_indexed | 2024-03-08T17:52:10Z |
| publishDate | 2022-12-01 |
| publisher | Salahaddin University-Erbil |
| record_format | Article |
| series | Zanco Journal of Pure and Applied Sciences |
| spelling | doaj.art-6ac7310dd633499a97c900b6a6da23a42024-01-02T07:30:13ZengSalahaddin University-ErbilZanco Journal of Pure and Applied Sciences2218-02302412-39862022-12-0134s610.21271/ZJPAS.34.s6.13Studying Some Stochastic Differential Equations with trigonometric terms with ApplicationAbdulghafoor Jasim Salim , Ali A. AsmaelIn 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 approacheshttps://zancojournal.su.edu.krd/index.php/JPAS/article/view/1258trigonometric stochastic differential equationseuler-maruyama techniquemilstein method. |
| spellingShingle | Abdulghafoor Jasim Salim , Ali A. Asmael Studying Some Stochastic Differential Equations with trigonometric terms with Application Zanco Journal of Pure and Applied Sciences trigonometric stochastic differential equations euler-maruyama technique milstein method. |
| title | Studying Some Stochastic Differential Equations with trigonometric terms with Application |
| title_full | Studying Some Stochastic Differential Equations with trigonometric terms with Application |
| title_fullStr | Studying Some Stochastic Differential Equations with trigonometric terms with Application |
| title_full_unstemmed | Studying Some Stochastic Differential Equations with trigonometric terms with Application |
| title_short | Studying Some Stochastic Differential Equations with trigonometric terms with Application |
| title_sort | studying some stochastic differential equations with trigonometric terms with application |
| topic | trigonometric stochastic differential equations euler-maruyama technique milstein method. |
| url | https://zancojournal.su.edu.krd/index.php/JPAS/article/view/1258 |
| work_keys_str_mv | AT abdulghafoorjasimsalimaliaasmael studyingsomestochasticdifferentialequationswithtrigonometrictermswithapplication |