كليدواژه :
رياضي , معادلات ديفرانسيل تصادفي , فرآيند وينر , Wiener Process , White noise , روشهاي عددي اويلر - مارياما , انتگرال اتيو , Stochastic Diffrerntial Equations , Ito lntegral
چكيده لاتين :
We will introduce the Euler-Maruyama and Milstein Methods. By using pseudo-random number and implementing the Ito integral we will present an efficient algorithm for the pathwise numerical approximation of solutions to stochastic differential equations.
In the last section we will show the efficiency of the algorithm by presenting the numerical results for some test problems.
