Performance of Eular-Maruyama, 2-stage SRK and 4-stage SRK in approximating the strong solution of stochastic model
Stochastic differential equations play a prominent role in many application areas including finance, biology and epidemiology. By incorporating random elements to ordinary differential equation system, a system of stochastic differential equations (SDEs) arises. This leads to a more complex insight...
Auteurs principaux: | , , , , |
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Format: | Article |
Langue: | English |
Publié: |
Universiti Kebangsaan Malaysia
2010
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Accès en ligne: | http://journalarticle.ukm.my/7416/1/01_Md_Yeaminhossain.pdf |