يجب تسجيل الدخول أولا
Simulation Analysis Based on Stochastic Delay Differential Equations
| المصدر: | مجلة القادسية للعلوم الإدارية والاقتصادية |
|---|---|
| الناشر: | جامعة القادسية - كلية الادارة والاقتصاد |
| المؤلف الرئيسي: | Al-Saadony, Muhannad F. (Author) |
| مؤلفين آخرين: | Awwad, Shatha (Co-Author) |
| المجلد/العدد: | مج24, ع1 |
| محكمة: | نعم |
| الدولة: |
العراق |
| التاريخ الميلادي: |
2022
|
| الصفحات: | 375 - 381 |
| ISSN: |
1816-9171 |
| رقم MD: | 1269594 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Wiener Process | SDDE | Euler-Maryama | Approximation Solution
|
| رابط المحتوى: |
الناشر لهذه المادة لم يسمح بإتاحتها. |
| المستخلص: |
This paper interested in studying the problem of the numerical solution for the stochastic delay differential equations (SDDE), we conducted few simulation scenarios based on the ordinary Black-Scholes process, and delay Black- Scholes process. It is well known that the finding of explicit solution of an SDDE is very hard to obtain, therefore, strong Euler-Maryama numerical method provided to find the approximation solution for the SDDE. The simulation examples results displayed by the pathways of the approximation solution for the s(t) process under different values of the process par for parameters, also we sketched the histogram of the s(t) that provides the log normal distribution of the solution values. Furthermore, we obtained some important statistics that described the approximation solution. |
|---|---|
| ISSN: |
1816-9171 |
عناصر مشابهة
-
the stochastic differential equations
بواسطة: Al Satami, Khalid Ali F. منشور: (2008) -
Forward-backward stochastic differential equations and applications to stochastic optimal control
بواسطة: Al Harbi, Nawal Mohammed منشور: (2015) -
oscillation and non-ascillation of arbitrary order delay differential equations
بواسطة: Al Sughayyer, Fatima M. A. منشور: (2004) -
Iraqi Exchange Pricing Analysis with Stochastic Delay Differential Equations
بواسطة: Awwad, Shatha منشور: (2022) -
Technical Computational Method for Symmetries of Partial Differential Equations
بواسطة: جاسم، مها فالح منشور: (2011)
