• Title, Summary, Keyword: Euler-Maruyama method

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EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

  • Ahmed, Hamdy M.
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.18 no.1
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    • pp.43-50
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    • 2014
  • In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p > 2.

NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATION CORRESPONDING TO CONTINUOUS DISTRIBUTIONS

  • Amini, Mohammad;Soheili, Ali Reza;Allahdadi, Mahdi
    • Communications of the Korean Mathematical Society
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    • v.26 no.4
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    • pp.709-720
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    • 2011
  • We obtain special type of differential equations which their solution are random variable with known continuous density function. Stochastic differential equations (SDE) of continuous distributions are determined by the Fokker-Planck theorem. We approximate solution of differential equation with numerical methods such as: the Euler-Maruyama and ten stages explicit Runge-Kutta method, and analysis error prediction statistically. Numerical results, show the performance of the Rung-Kutta method with respect to the Euler-Maruyama. The exponential two parameters, exponential, normal, uniform, beta, gamma and Parreto distributions are considered in this paper.