Vol. 5 No. 2 (2021): Vol 5, Iss 2, Year 2021
Articles

A study on stochastic differential equation

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  • Govindaraju P,
  • Senthil Kumar
Govindaraju P
Department of Mathematics, Islamiah College (Autonomous) Vaniyambadi 635 752, Tirupattur District, Tamil Nadu, India.
Senthil Kumar
Department of Mathematics, Islamiah College (Autonomous) Vaniyambadi 635 752, Tirupattur District, Tamil Nadu, India.
DOI: https://doi.org/10.26524/cm109
Published December 20, 2021
Keywords
  • 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

Abstract

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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