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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| Format: | Article |
| Language: | English |
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Mosul University
2023-06-01
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| Series: | Al-Rafidain Journal of Computer Sciences and Mathematics |
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| Online Access: | https://csmj.mosuljournals.com/article_179475_919cd3288ef01a2fc9aa14d5ee075e14.pdf |
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| author | Abdulghafoor J. Salim Nibal Abdulrhman |
| author_facet | Abdulghafoor J. Salim Nibal Abdulrhman |
| author_sort | Abdulghafoor J. Salim |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-3537b42eaa0f40efb164a1d15b0e1ef1 |
| institution | DOAJ |
| issn | 1815-4816 2311-7990 |
| language | English |
| publishDate | 2023-06-01 |
| publisher | Mosul University |
| record_format | Article |
| series | Al-Rafidain Journal of Computer Sciences and Mathematics |
| spelling | doaj-art-3537b42eaa0f40efb164a1d15b0e1ef12025-08-20T03:03:46ZengMosul UniversityAl-Rafidain Journal of Computer Sciences and Mathematics1815-48162311-79902023-06-01171717710.33899/csmj.2023.179475179475The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform)Abdulghafoor J. Salim0Nibal Abdulrhman1Department of Mathematics, College of Computer Science and Mathematics, The University of Mosul. Mosul – IraqDepartment of Mathematics, College of Education for pure Science, The University of Mosul. Mosul – IraqIn 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.https://csmj.mosuljournals.com/article_179475_919cd3288ef01a2fc9aa14d5ee075e14.pdfstochastic differential equationito formulareducibleeuler-maruyama & milstein |
| spellingShingle | Abdulghafoor J. Salim Nibal Abdulrhman The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) Al-Rafidain Journal of Computer Sciences and Mathematics stochastic differential equation ito formula reducible euler-maruyama & milstein |
| title | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
| title_full | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
| title_fullStr | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
| title_full_unstemmed | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
| title_short | The Analytic solution for some non-linear stochastic differential equation by linearization (Linear-transform) |
| title_sort | analytic solution for some non linear stochastic differential equation by linearization linear transform |
| topic | stochastic differential equation ito formula reducible euler-maruyama & milstein |
| url | https://csmj.mosuljournals.com/article_179475_919cd3288ef01a2fc9aa14d5ee075e14.pdf |
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