Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal Journal of Mathematics UNP
Taufik Iqbal
Universitas Negeri Padang
Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Metode Euler-Milstein untuk Solusi Numerik Persamaan Diferensial Stokhastik Ornstein-Uhlenbeck Taufik Iqbal; Muhammad Subhan
Journal of Mathematics UNP Vol 5, No 4 (2020): Journal Of Mathematics UNP
Publisher : UNIVERSITAS NEGERI PADANG

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (760.961 KB) | DOI: 10.24036/unpjomath.v5i4.11115

Abstract

Abstract —The Ornstein-Uhlenbeck.equation is a stochastic differential equation, this equation.isoften used in the financial mathematical model. However, to find the solution the Ornstein Uhlenbeck equation.is.difficult.to complete analytic so it can also be solved by looking for numerical solutions. To get a better numeric solution it is required a numeric. method by. looking at converged. The purpose of the study is to examine. the Euler-Milstein method formula for the solution of the Ornstein-Uhlenbeck equation, shows that numerical solution of Ornstein-Uhlenbeck equation that resulted by Euler-Milstein.method has strong convergence. to exact solutions and create an algorithm to find the solution of Ornstein-Uhlenbeck equation with the Euler-Milstein method.Keywords — stochastic.differential.Equations, ornstein-uhlenbeck equation, euler- milstein method
Co-Authors Muhammad Subhan