PDF

Keywords

Stochastic differential equation
Ito formula
Reducible
Euler-Maruyama & Milstein

Abstract

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.
https://doi.org/10.33899/csmj.2023.179475
  PDF