1.7. Modify the Euler code of Example 1.6 to numerically solve and plot five different realizations of...
Question:
1.7. Modify the Euler code of Example 1.6 to numerically solve and plot five different realizations of the solutions of the following SDEs:
1. dX =
2X 1+t +(1+t)2
dt+(1+t)2dW with X0 = 0 and X0 = 1 ;
2. dX = dt+2
√
XdW with X0 = 1 ;
3. dX=−12 e−2Xdt+e−XdW with X0 = 0 ;
4. dX =
12 X+
1+X2
dt+
1+X2dW with X0 = 0 ;
5. dZ = Z3dt−Z2dW with Z(0) = 1 .
Step by Step Answer:
Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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