Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATION CORRESPONDING TO CONTINUOUS DISTRIBUTIONS

  • Amini, Mohammad (Department of Statistics Ordered and Spatial Data Center of Excellence(OSDCE) Ferdowsi University of Mashhad) ;
  • Soheili, Ali Reza (Department of Applied Mathematics The center of excellence in modeling and computations in linear and nonlinear systems(CRMCS) Ferdowsi University of Mashhad) ;
  • Allahdadi, Mahdi (Department of Mathematics University of Sistan and Baluchestan)
  • Received : 2010.07.17
  • Published : 2011.10.31
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Abstract

We obtain special type of differential equations which their solution are random variable with known continuous density function. Stochastic differential equations (SDE) of continuous distributions are determined by the Fokker-Planck theorem. We approximate solution of differential equation with numerical methods such as: the Euler-Maruyama and ten stages explicit Runge-Kutta method, and analysis error prediction statistically. Numerical results, show the performance of the Rung-Kutta method with respect to the Euler-Maruyama. The exponential two parameters, exponential, normal, uniform, beta, gamma and Parreto distributions are considered in this paper.

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References

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