Notice of Retraction: Stochastic Differential Equations Numerical Simulation Algorithm for Financial Problems Based on Euler Method

2009 ◽  
Author(s):  
Zhou Qihai ◽  
Han Zaixing ◽  
Huang Tao ◽  
Sun Xiezhi ◽  
Li Yan ◽  
...  
Keyword(s):  
Numerical Simulation ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Euler Method ◽  
Simulation Algorithm ◽  
Financial Problems

scholarly journals NUMERICAL SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS USING IMPLICIT MILSTEIN METHOD

2020 ◽  
Vol 3 (1) ◽  
pp. 72-83
Author(s):  
Ratna Herdiana
Keyword(s):  
Numerical Simulation ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Programming Language ◽  
Population Model ◽  
Euler Method ◽  
Implicit Euler Method ◽  
Sis Epidemic Model ◽  
Milstein Method ◽  
Sis Epidemic

Stiff stochastic differential equations arise in many applications including in the area of biology. In this paper, we present numerical solution of stochastic differential equations representing the Malthus population model and SIS epidemic model, using the improved implicit Milstein method of order one proposed in [6]. The open source programming language SCILAB is used to perform the numerical simulations. Results show that the method is more accurate and stable compared to the implicit Euler method.

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