An application of new method to obtain probability density function of solution of stochastic differential equations

DOI10.2478/amns.2020.1.00031zbMath1506.65021OpenAlexW3020886412MaRDI QIDQ2690712

Nihal Ince, Aladdin Shamilov

Publication date: 17 March 2023

Published in: Applied Mathematics and Nonlinear Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/amns.2020.1.00031

zbMATH Keywords

Euler-Maruyama methodgeneralized entropy optimization methodsstochastic differential equation model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Measures of information, entropy (94A17)

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Cites Work

• Alternative models for stock price dynamics.
• A new concept of relative suitability of moment function sets
• Generalized entropy optimization problems with finite moment function sets
• Modeling with Itô Stochastic Differential Equations
• Elementary Stochastic Calculus, with Finance in View
• An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine.
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