African Journal of
Mathematics and Computer Science Research

  • Abbreviation: Afr. J. Math. Comput. Sci. Res.
  • Language: English
  • ISSN: 2006-9731
  • DOI: 10.5897/AJMCSR
  • Start Year: 2008
  • Published Articles: 262

Full Length Research Paper

Euler-Maruyama method for solving first order uncertain stochastic differential equations

C. E. Ukuedojor
  • C. E. Ukuedojor
  • Department of Mathematics, Faculty of Sciences, University of Ibadan, Ibadan, Oyo State, Nigeria.
  • Google Scholar
I. Adinya
  • I. Adinya
  • Department of Mathematics, Faculty of Sciences, University of Ibadan, Ibadan, Oyo State, Nigeria.
  • Google Scholar
O. O. Ugbebor
  • O. O. Ugbebor
  • Department of Mathematics, Faculty of Sciences, University of Ibadan, Ibadan, Oyo State, Nigeria.
  • Google Scholar


  •  Received: 19 September 2022
  •  Accepted: 16 February 2023
  •  Published: 31 July 2023

References

Black F, Scholes M (1973). Pricing of Options and Corporate Liabilities. Journal of Political Economics 81(3):637-659.
Crossref

 

Chirima J, Chikodza E, Hove-Musekwa SD (2020). Numerical Methods for First Order Uncertain Stochastic Differential Equations. International Journal of Mathematics in Operational Research 16(1):1-23.
Crossref

 

Dmouj A (2006). Stock Price Modelling: Theory and Practice, Unpublished MSc thesis, Vrije Universiteit, Faculty of Sciences Amsterdam, The Netherlands.

 

Fei W (2014). Optimal Control of Uncertain Stochastic Systems with Markovian Switching and its Applications to Portfolio Decisions, Cybernetics and Systems: An International Journal 45(1):69-88.
Crossref

 

Higham DJ (2001). An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations, Society for Industrial and Applied Mathematics 43(3):525-546.
Crossref

 

Hou YC (2014). Sub-additivity of Chance Measure. Journal of Uncertainty Analysis and Applications 2:1-8. 
Crossref

 

Hull J, White A (1990). Pricing Interest Rate Derivative Securities, Review of Financial Studies 3(4):573-592.
Crossref

 

Kolmogorov AN (1933). Grundbegriffe der Wahrscheinlichkeitsrechnung, Julius Springer, Berlin.
Crossref

 

Liu B (2009). Some research problems in uncertainty theory. Journal of Uncertain Systems 3(1):3-10.

 

Liu B (2010). Uncertainty Theory. A Branch of Mathematics for Modelling Human Uncertainty, Springer-Verlag, Berlin.

 

Liu B (2013). Toward Uncertain Finance Theory, Journal of Uncertainty Analysis and Applications 1:1-15.
Crossref

 

Liu YH (2013a). Uncertain random programming with applications, Fuzzy Optimization and Decision Making 12(2):153-169.
Crossref

 

Liu YH (2013b). Uncertain random variables. A mixture of uncertainty and randomness, Soft Computing 17(4):625-634.
Crossref

 

Liu B (2007). Uncertainty Theory, 2nd ed., Springer-Verlag, Berlin.

 

Matenda FR, Chikodza E (2018). A stock model with jumps for Itˆo-Liu financial markets. Soft Computing 23:4065-4080. 
Crossref

 

Merton R (1973). Theory of rational option pricing. The Bell Journal of economics and management science pp. 141-183.
Crossref

 

Peng ZX, Iwamura K (2013). A sufficient and necessary condition of uncertainty distribution. Journal of Interdisciplinary Mathematics 13(3):277-285.
Crossref

 

Yao K, Chen X (2013). A numerical method for solving uncertain differential equations, Journal of Intelligent and Fuzzy Systems 25(3):825-832.
Crossref