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...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia,
2010-10.
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| Online Access: | Get fulltext |