The approximate solutions of some stochastic differential equations using transformations

被引：30
|
作者：
El-Tawil, MA [1 ]
机构：
[1] Cairo Univ, Fac Engn, Engn Math & Phys Dept, Giza 12211, Egypt
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2005年 / 164卷 / 01期
关键词：
probabilistic numerical analysis; stochastic differential equations; numerical methods; random variable transformation;
D O I：
10.1016/j.amc.2004.04.062
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, the transformation technique together with a numerical technique is used to obtain an approximate probability density function (pdt) 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. (c) 2004 Elsevier Inc. All rights reserved.
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页码：167 / 178
页数：12
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