The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform)

In this paper, we study a reducible method which is called linearization(Linear-transform) for some non-linear stochastic differential equations (SDEs) to linear by using the Ito-integrated formula. And then finding their analytic solution, we compare the obtained solution for the nonlinear SDEs wit...

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Bibliographic Details
Published in:	AL-Rafidain journal of computer sciences and mathematics Vol. 17; no. 1; pp. 71 - 77
Main Authors:	J. Salim, Abdulghafoor, Abdulrhman, Nibal
Format:	Journal Article
Language:	Arabic English
Published:	Mosul University 01-06-2023
Subjects:	euler-maruyama & milstein ito formula reducible stochastic differential equation
Online Access:	Get full text
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Summary:	In this paper, we study a reducible method which is called linearization(Linear-transform) for some non-linear stochastic differential equations (SDEs) to linear by using the Ito-integrated formula. And then finding their analytic solution, we compare the obtained solution for the nonlinear SDEs with the approximate solution by using numerical (Euler -Maruyama and Milstein) Methods.
ISSN:	2311-7990 1815-4816 2311-7990
DOI:	10.33899/csmj.2023.179475