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Taufik Iqbal
Mathematics Department Universitas Negeri Padang
Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

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Metode Euler-Milstein untuk Solusi Numerik Persamaan Diferensial Stokhastik Ornstein-Uhlenbeck Taufik Iqbal; Muhammad Subhan
Journal of Mathematics UNP Vol 5, No 3 (2020): Journal Of Mathematics UNP
Publisher : UNIVERSITAS NEGERI PADANG

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (344.229 KB) | DOI: 10.24036/unpjomath.v5i3.10608

Abstract

Abstract —The Ornstein-Uhlenbeck.equation is a stochastic differential equation, this equation.is often 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