. Using a computer, solve the forward Kolmogorov equation for the Wiener process with drift using your...
Question:
. Using a computer, solve the forward Kolmogorov equation for the Wiener process with drift using your own choice of parameters and a numerical method of solution such as that of Crank-Nicolson. Use an initial density which is Gaussian and compare your computed solutions with the exact solution.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Elementary Applications Of Probability Theory
ISBN: 9780367449056
2nd Edition
Authors: Henry C. Tuckwell
Question Posted: