کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
469774 698353 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical treatment of stochastic models used in statistical systems and financial markets
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Numerical treatment of stochastic models used in statistical systems and financial markets
چکیده انگلیسی

In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker–Planck equation for non-equilibrium statistical systems and the Black–Scholes model for pricing stock options, are solved numerically. In this approach, the solution is found in the form of a convergent series with easily computed components. The behavior of the approximate solutions is shown graphically.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 56, Issue 10, November 2008, Pages 2724–2732
نویسندگان
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