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    Euler-Maruyama Method: Numerical Simulation

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    Euler-Maruyama Method: Numerical Simulation

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    Jese Madrid
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    Euler–Maruyama_method

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    87 views3 pages

    Euler-Maruyama Method: Numerical Simulation

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    Jese Madrid

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    © All Rights Reserved
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    of 3

    Euler–Maruyama method

    In Itô calculus, the Euler–Maruyama method (also called the Euler method) is a method for the
    approximate numerical solution of a stochastic differential equation (SDE). It is a simple generalization of the
    Euler method for ordinary differential equations to stochastic differential equations. It is named after Leonhard
    Euler and Gisiro Maruyama. Unfortunately, the same generalization cannot be done for any arbitrary
    deterministic method [1].

    Consider the stochastic differential equation (see Itô calculus)

    with initial condition X0 = x0 , where Wt stands for the Wiener process, and suppose that we wish to solve this
    SDE on some interval of time [0, T]. Then the Euler–Maruyama approximation to the true solution X is the
    Markov chain Y defined as follows:

    partition the interval [0, T] into N equal subintervals of width :

    set Y0 = x0;
    recursively define Yn for 1 ≤ n ≤ N by

    where

    The random variables ΔWn are independent and identically distributed normal random variables with expected
    value zero and variance .

    Contents
    Example
    Numerical simulation
    Computer implementation
    See also
    References

    Example

    Numerical simulation
    An area that has benefited significantly from SDE is biology or more
    precisely mathematical biology. Here the number of publications on
    the use of stochastic model grew, as most of the models are nonlinear,
    demanding numerical schemes.

    The graphic depicts a stochastic differential equation being solved


    using the Euler Scheme. The deterministic counterpart is shown as
    well. Gene expression modelled as
    stochastic process

    Computer implementation

    The following Python code implements the Euler–Maruyama method and uses it to solve the Ornstein–
    Uhlenbeck process defined by

    The random numbers for are generated using the NumPy mathematics package.

    1 # -*- coding: utf-8 -*-


    2 import numpy as np
    3 import matplotlib.pyplot as plt
    4
    5 num_sims = 5 # Display five runs
    6
    7 t_init = 3
    8 t_end = 7
    9 N = 1000 # Compute 1000 grid points
    10 dt = float(t_end - t_init) / N
    11 y_init = 0
    12
    13 c_theta = 0.7
    14 c_mu = 1.5
    15 c_sigma = 0.06
    16
    17 def mu(y, t):
    18 """Implement the Ornstein–Uhlenbeck mu.""" # = \theta (\mu-Y_t)
    19 return c_theta * (c_mu - y)
    20
    21 def sigma(y, t):
    22 """Implement the Ornstein–Uhlenbeck sigma.""" # = \sigma
    23 return c_sigma
    24
    25 def dW(delta_t):
    26 """Sample a random number at each call."""
    27 return np.random.normal(loc=0.0, scale=np.sqrt(delta_t))
    28
    29 ts = np.arange(t_init, t_end, dt)
    30 ys = np.zeros(N)
    31
    32 ys[0] = y_init
    33
    34 for _ in range(num_sims):
    35 for i in range(1, ts.size):
    36 t = (i-1) * dt
    37 y = ys[i-1]
    38 ys[i] = y + mu(y, t) * dt + sigma(y, t) * dW(dt)
    39 plt.plot(ts, ys)
    40
    41 plt.show()

    The following is simply the translation of the above code into the MATLAB (R2019b) programming
    language:
    1 %% Initialization and Utility
    close all;
    2 3 clear all;
    4
    5 numSims = 5; % display five runs
    6 tBounds = [3 7]; % The bounds of t
    7 N = 1000; % Compute 1000 grid points
    8 dt = (tBounds(2) - tBounds(1)) / N ;
    9 y_init = 1; % Initial y condition
    10
    11
    12 pd = makedist('Normal',0,sqrt(dt)); % Initialize the probability distribution for our
    13 % random variable with mean 0 and
    14 % stdev of sqrt(dt)
    15
    16 c = [0.7, 1.5, 0.06]; % the initial Theta, Mu, and Sigma, respectively
    17
    18 ts = linspace(tBounds(1), tBounds(2), N); % From t0-->t1 with N points
    19 ys = zeros(1,N); % 1xN Matrix of zeros
    20
    21 ys(1) = y_init;
    22 %% Computing the Process
    23 for j = 1:numSims
    24 for i = 2:numel(ts)
    25 t = (i-1) .* dt;
    26 y = ys(i-1);
    27 mu = c(1) .* (c(2) - y);
    28 sigma = c(3);
    29 dW = random(pd);
    30
    31 ys(i) = y + mu .* dt + sigma .* dW;
    32 end
    33 figure(69)
    34 hold on;
    35 plot(ts, ys, 'o')
    36 end

    See also
    Milstein method
    Runge–Kutta method (SDE)

    References
    1. Kloeden, P.E. & Platen, E. (1992). Numerical Solution of Stochastic Differential Equations.
    Springer, Berlin. ISBN 3-540-54062-8.

    Retrieved from "https://en.wikipedia.org/w/index.php?title=Euler–Maruyama_method&oldid=956134124"

    This page was last edited on 11 May 2020, at 17:44 (UTC).

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