Numerical treatment of stochastic models used in statistical systems and financial markets

In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker–Planck equation for non-equilibrium statistical systems and the Black–Scholes model for pricing stock options, are solved numerically. In this approach, the solution is found in the form of a convergent series with easily computed components. The behavior of the approximate solutions is shown graphically.