Vol. 5 No. 2 (2021): Vol 5, Iss 2, Year 2021
A study on stochastic differential equation
Published December 20, 2021
- Stochastic Differential Equation, Discontinuous Drift
How to Cite
P, G., & Senthil Kumar. (2021). A study on stochastic differential equation. Journal of Computational Mathematica, 5(2), 68 - 75. https://doi.org/10.26524/cm109
In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. In this paper we discussed The Euler-Maruyama method and this shows that a candidate density function based on the Euler-Maruyama method. The point of departure for this work is a particular SDE with discontinuous drift.
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