Finite Difference Method for Stochastic Ordinary Differential Equation
For the stochastic differential equation of the Ornstein-Uhlenbeck process,the fi-nite difference method is applied to solve it and compared with the exact solution derived from Ito's formula to give the expression and estimation of the parameters such as variance and eigenfunction.Fi-nally,a visual simulation is carried out by MATLAB and Python language to analyze the nature and characteristics of Ornstein-Uhlenbeck equation with the help of images.
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