Simulation Method for Solving Stochastic Differential Equations with Constant Diffusion Coefficients
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Authors
Behrouz Fathi Vajargah
- Department of statistics, University Of Guilan, Rasht, Iran.
Rahim Asghari
- Departments of Applied Mathematics, University of Guilan, Rasht, Iran.
Abstract
In the present paper a simulation method is presented for solving stochastic differential equations (SDEs). It was based on probability and statistics theory, so called random sampling or statistical test method. At the present paper, SDEs with initial conditions are considered. Some Numerical examples also are presented to confirm the efficiency.
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ISRP Style
Behrouz Fathi Vajargah, Rahim Asghari, Simulation Method for Solving Stochastic Differential Equations with Constant Diffusion Coefficients, Journal of Mathematics and Computer Science, 8 (2014), no. 1, 28 - 32
AMA Style
Vajargah Behrouz Fathi, Asghari Rahim, Simulation Method for Solving Stochastic Differential Equations with Constant Diffusion Coefficients. J Math Comput SCI-JM. (2014); 8(1):28 - 32
Chicago/Turabian Style
Vajargah, Behrouz Fathi, Asghari, Rahim. "Simulation Method for Solving Stochastic Differential Equations with Constant Diffusion Coefficients." Journal of Mathematics and Computer Science, 8, no. 1 (2014): 28 - 32
Keywords
- Stochastic differential equations
- Simulation methods
- Rejection method.
MSC
References
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