Numerical Solution of Degenerate Fourth Order SDE Model by Milstein Scheme

Document Type : Research Paper

Authors

1 Department of Mathematics,Linnaeus University,351 95,Vaxjo,Sweden

2 Department of Mathematics, Islamic Azad University, Karaj Branch, Iran

Abstract

In this paper, we use a Milstein scheme to develop a numerical technique for solving Stochastic differential equation which we had its deterministic form in our last article \cite{Tepological}, we discuss the existence and uniqueness solution of deterministic and stochastic form, and then we show the advantages of the method with numerical example.

Keywords