In this thesis, I will study the qualitative properties of solutions of stochastic differential equations arising in applications by using the numerical methods. It contains two parts. In the first part, I will first review some of the basic theory of the stochastic calculus and the Ito-Taylor expansion for stochastic differential equations (SDEs). Then I will discuss some numerical schemes that come from the Ito-Taylor expansion including their order of convergence. In the second part, I will use some schemes to solve the stochastic Duffing equation, the stochastic Lorenz equation, the stochastic pendulum equation, and the stochastic equations which model the spread options.
| Identifer | oai:union.ndltd.org:BGMYU2/oai:scholarsarchive.byu.edu:etd-2761 |
| Date | 06 July 2009 |
| Creators | Luo, Yi |
| Publisher | BYU ScholarsArchive |
| Source Sets | Brigham Young University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Theses and Dissertations |
| Rights | http://lib.byu.edu/about/copyright/ |
Page generated in 0.0016 seconds