• ADEL S. HUSSAIN Dept. of IT., Amedey Institute, Duhok Polytechnic University, Kurdistan Region-Iraq
Keywords: Numerical Solutions:, Riccati stochastic differential equations :, linear stability:


In this work, we   study  the numerical method for solving stability  of  Riccati stochastic differential equation, because of the difficulty of finding analytical solutions for many of the stochastic differential equations the Riccati method   was used. Numerical simulations for different selected   examples are implemented. In addition, the absolute error, the linear stability are supported by numerical tests problems


Download data is not yet available.


[1]. Ven Katarama Krishnan, "Probability and Random Processes", John Wiley & Sons, Inc., (2006).
[2]. Strizaker D., "Stochastic Processes and Models", Oxford University Press, Inc., New York, (2005).
[3]. D. J. Higman, "Mean-Square and Asymptotic Stability of the Stochastic Theta Method", SIAM J. Numer. Anal., 38, pp.753-769,( 2000).
[4]. Fleury G., "Convergence of Schemes for Stochastic Differential Equations", Probabilistic Engineering Mechanics, Vol.21, 35-43,( 2006).
[5]. Carletti M., "Numerical Solution of Stochastic Differential Problems in the Bioscience", Journal of Computational and Applied Mathematics, Vol.185, 422-450, (2006).
[6]. Cao R. ad Pope S. B., "Numerical Integration of Stochastic Differential Equations: Weak Second-Order Mid-Point Scheme for Application in the Composition PDF Method", Journal of Computational Physics, Vol.185(1), 194-212, (2003).
[7]. Bernard P. and Fleury G., "Convergence of Schemes for Stochastic Differential Equations; Monte Carlo Methods", Applied, Vol.7(1), 35-53, (2001).
[8]. Lawrence C. Evance, "An Introduction to Stochastic Differential Equations", Version 1.2, Lecture Notes, Short Course at SIAM Meeting, July, (2005).
[9]. P. E. Kloeden and Platen, "Numerical Solution of Stochastic Differential Equations", Springer-Verlag, Berlin, (1999).
[10]. P. Platen "An Introduction to Numerical Methods for Stochastic Differential Equations", Acta Numer., 8, pp.197-246. (1999).
[11].Jentzen A,Kloeden P, Neuenkirch A, "Path wise approximation of stochastic differential equations''
How to Cite
S. HUSSAIN, A. (2019). STABILITY OF RICCATI STOCHASTIC DIFFERENTIAL EQUATION. Journal of Duhok University, 22(1), 11-16.
Pure and Engineering Sciences