The approximate solutions of some stochastic differential equations using transformations
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摘要
In this paper, the transformation technique together with a numerical technique is used to obtain an approximate probability density function (pdf) for the solution process of some stochastic differential equations. The approach is applied on some first order and second order differential equations with making comparisons with the exact solution if possible.
论文关键词:Probabilistic numerical analysis,Stochastic differential equations,Numerical methods,Random variable transformation
论文评审过程:Available online 20 August 2004.
论文官网地址:https://doi.org/10.1016/j.amc.2004.04.062