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Numerical Methods For Solving Sdes Case Study

Author

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  • Ovidiu Solomon

    (Romanian-American University, Bucharest)

Abstract

The Euler - Maruyama and Milstein methods are applied to approximate the solution of linearly Langevin equation with multiplicative noise. The exact solution is obtained by applying the Ito's lemma. It is worth mentioning that not always the discretization used to find the solutions of SDEs (Stochastic Differential Equations) leads to a convenient convergence when the discretization step tends to zero.

Suggested Citation

  • Ovidiu Solomon, 2012. "Numerical Methods For Solving Sdes Case Study," Romanian Economic Business Review, Romanian-American University, vol. 6(2), pages 359-367, December.
    • Handle: RePEc:rau:journl:v:6:y:2012:i:2:p:359-367
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    File URL: http://www.rebe.rau.ro/RePEc/rau/jisomg/WI12/JISOM-WI12-A12.pdf
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