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NUMERICAL SOLUTION OF STOCHASTIC DIFFERENTIAL EQUATION CORRESPONDING TO CONTINUOUS DISTRIBUTIONS

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

  • Received : 2010.07.17
  • Published : 2011.10.31

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.

Keywords

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

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