Performance of Euler-Maruyama, 2-Stage SRK and 4-Stage SRK in approximating the strong solution of stochastic model

• Main Authors: Rosli, Norhayati, Bahar, Arifah, Su Hoe, Yeak, Abdul Rahman, Haliza, Md. Salleh, Madihah
• Format: Article
• Published: Faculty of Science and Technology, UKM 2010
• Subjects: Q Science (General)
• Online Access: http://eprints.utm.my/id/eprint/26007/; http://www.ukm.my/jsm/pdf_files/SM-PDF-39-5-2010/24%20Norhayati.pdf
• Institution: Universiti Teknologi Malaysia

Stochastic differential equations play a prominent role in many application areas including finance, biology and epidemiology. By incorporating random elements to ordinary differential equation system, a system of stochastic differential equations (SDEs) arises. This leads to a more complex insight...