Numerical solution of Heun equation via linear stochastic differential equation
Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
Type: Conference paper
Language: English
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Document National Code:
CFMA03_158
Index date: 6 June 2015
Numerical solution of Heun equation via linear stochastic differential equation abstract
In this paper, the numerical approach of the following Stochastic differential equation which is named ”Heun equation”, will be represented. such that ; ; ; ; and , could be coefficients of Gaussian random numbers which isnamed wiener process. Making linear equations system from this equation, it could besolved by computing fundamental matrix of this system, with different methods. Finally,this stochastic equation is solved by numerical methods like E.M. and Milstein. Also itsasymptotic stability and statistical concepts like expectation and variance of solutions arediscussed.
Numerical solution of Heun equation via linear stochastic differential equation Keywords:
Numerical solution of Heun equation via linear stochastic differential equation authors
R Farnoosh
Faculty of Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran
H.R Rezazadeh
Faculty of Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran
J Danirchi
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran