Euler-Maruyama method for solving first order uncertain stochastic differential equations
Author:
Publisher
Academic Journals
Subject
Computer Science Applications,History,Education
Link
https://academicjournals.org/journal/AJMCSR/article-full-text-pdf/F1747A870941
Reference18 articles.
1. Black F, Scholes M (1973). Pricing of Options and Corporate Liabilities. Journal of Political Economics 81(3):637-659.
2. Chirima J, Chikodza E, Hove-Musekwa SD (2020). Numerical Methods for First Order Uncertain Stochastic Differential Equations. International Journal of Mathematics in Operational Research 16(1):1-23.
3. Dmouj A (2006). Stock Price Modelling: Theory and Practice, Unpublished MSc thesis, Vrije Universiteit, Faculty of Sciences Amsterdam, The Netherlands.
4. Fei W (2014). Optimal Control of Uncertain Stochastic Systems with Markovian Switching and its Applications to Portfolio Decisions, Cybernetics and Systems: An International Journal 45(1):69-88.
5. Higham DJ (2001). An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations, Society for Industrial and Applied Mathematics 43(3):525-546.
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