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The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) | ||
| AL-Rafidain Journal of Computer Sciences and Mathematics | ||
| Volume 17, Issue 1, June 2023, Pages 71-77 PDF (1.38 M) | ||
| Document Type: Research Paper | ||
| DOI: 10.33899/csmj.2023.179475 | ||
| Authors | ||
| Abdulghafoor J. Salim* 1; Nibal Sabah Abdulrhman2 | ||
| 1Department of Mathematics, College of Computer Science and Mathematics, The University of Mosul. Mosul – Iraq | ||
| 2Department of Mathematics, College of Education for pure Science, The University of Mosul. Mosul – Iraq | ||
| 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. | ||
| Keywords | ||
| Stochastic differential equation; Ito formula; Reducible; Euler-Maruyama & Milstein | ||
|
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