Destabilising nonnormal stochastic differential equations

Stochastic differential equations and integrating factor

The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.

Simulating Stochastic Differential Equations

Let S t be the time t price of a particular stock. We know that if S t ∼ GBM (µ, σ 2), then S t = S 0 e (µ−σ 2 /2)t+σBt (1) where B t is the Brownian motion driving the stock price. An alternative possibility is to use a stochastic differential equation (SDE) to describe the evolution of S t. In this case we would write S t = S 0 + t 0 µS u du + t 0 σS u dB u (2) or in shorthand , dS t = µS t d...

. Stochastic Differential Equations

Stochastic Partial Differential Equations

Simulation & Stochastic Differential Equations