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<p>We introduce a highly sensitive mean-reverting stochastic model under the influence of two uncorrelated Brownian motions. However, due to its structural complexity and analytical intractability, we develop new mathematical techniques to investigate into the properties of the true and numerical solutions. Moreover, we show that, for a sufficiently small step size, the numerical solutions converge to the true solution in probability. Finally, we provide numerical demonstrations to support the theoretical findings.</p>

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On the Analysis of a Generalised Mean-Reverting Stochastic Model with Two Uncorrelated Brownian Motions

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年3月14日

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  • Emmanuel Coffie

摘要

We introduce a highly sensitive mean-reverting stochastic model under the influence of two uncorrelated Brownian motions. However, due to its structural complexity and analytical intractability, we develop new mathematical techniques to investigate into the properties of the true and numerical solutions. Moreover, we show that, for a sufficiently small step size, the numerical solutions converge to the true solution in probability. Finally, we provide numerical demonstrations to support the theoretical findings.