Open AccessIterative methods for approximate solution of the Ornstein-Uhlenbeck process with normalised brownian motion
Author(s) -
O. P. Ogundile,
S.O. Edeki
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1734/1/012015
Subject(s) - ornstein–uhlenbeck process , brownian motion , mathematics , work (physics) , iterative method , fractional brownian motion , process (computing) , motion (physics) , stochastic process , mathematical optimization , calculus (dental) , computer science , physics , statistics , artificial intelligence , thermodynamics , medicine , operating system , dentistry
This work considers the concept of the Normalised Brownian motion for the solutions of the Ornstein-Uhlenbeck process using the Daftardar-Jafari Method (DJM) and Picard Iterative Method (PIM) as the approximate-analytical methods of solutions. The results obtained from DJM are compared with those of the PIM. The obtained results, therefore, show the effectiveness of the proposed methods.