Amini, Mohammad;Soheili, Ali Reza;Allahdadi, Mahdi

  • Received : 2010.07.17
  • Published : 2011.10.31


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.


stochastic differential equation;continuous distribution function;confidence interval;Euler-Maruyama method


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