E.S. Rahman, M. Subhan, Heru Maulana
The Ornstein-Uhlenbeck stochastic differential equation is a one of the most applied equation in financial mathematics. To find the analytical solution of the equation is very difficult, so the numerical solution is the choice. One of the numerical method that can be used is Euler-Maruyama method. In this paper, we analyze the convergence of Euler-Maruyama method using Lipschitz condition and other concepts. The analysis shows that numerical solution of Ornstein-Uhlenbeck equation that resulted by Euler-Maruyama method has strong convergence to the exact solution. © 2020 Published under licence by IOP Publishing Ltd.
Mathematics Department, Universitas Negeri Padang, Padang, Indonesia
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