Wong-Zakai Method Applications for Explicitly Solvable Stochastic Differential Equations
Süleyman Şengül, Mehmet Merdan
Journal of Advances in Mathematics and Computer Science · pp. 1–12 · Published 24 Oct 2019
10.9734/jamcs/2019/v34i1-230202Abstract
In this study, three Ito stochastic differential equations with multiplicative noise are investigated with Wong-Zakai method. The stochastic differential equations are also analyzed by Euler-Maruyama, Milstein and Runge Kutta stochastic approximation methods. The relative errors of these three methods are compared and the performance of Wong-Zakai method is shown alongside numerical results.
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