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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| Published in: | AL-Rafidain journal of computer sciences and mathematics Vol. 17; no. 1; pp. 71 - 77 |
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| Main Authors: | , |
| Format: | Journal Article |
| Language: | Arabic English |
| Published: |
Mosul University
01-06-2023
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| Online Access: | Get full text |
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| Abstract | 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. |
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| AbstractList | 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. |
| Author | Abdulrhman, Nibal J. Salim, Abdulghafoor |
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| SubjectTerms | euler-maruyama & milstein ito formula reducible stochastic differential equation |
| Title | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
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