. Using the method outlined in section 12.7, perform a simulation of the process defined by the...
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. Using the method outlined in section 12.7, perform a simulation of the process defined by the stochastic differential equation dX = X[/id/-h adW^ using both I to and Stratonovich interpretations. Vary the number of trials and the time-step A/, for various parameter values and values of X(0). Find estimates for the means and variances as functions of time
(confidence intervals can also be determined) and compare these with the values obtained using the exact expressions. Determine also empirical distributions (histograms) for the time taken for the process to first attain certain values.
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Elementary Applications Of Probability Theory
ISBN: 9780367449056
2nd Edition
Authors: Henry C. Tuckwell
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