1.6. Modify the Euler code of Example 1.6 to numerically solve and plot five different realizations of...
Question:
1.6. Modify the Euler code of Example 1.6 to numerically solve and plot five different realizations of the (Ornstein–Uhlenbeck process) solutions of the SDE: dS =
−Sdt+dW with initial conditions S0 = 0,1,2,3, and 4 . Perhaps integrate over 0 ≤ t ≤ 4 .
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Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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