SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

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BASERI A.; GHOREISHI F.; PISHBIN S.

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Seminar Paper

Paper Information

Seminar: IRANIAN CONFERENCE ON APPLIED MATHEMATICS
Year:2013 | Issue:5

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Title

SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s)

BASERI A. | GHOREISHI F. | PISHBIN S.

Keywords

STOCHASTIC DIFFERENTIAL EQUATIONS

SPLINE COLLOCATION METHOD

PIECEWISE POLYNOMIAL SPACE

ITO INTEGRAL

EULER-MARUYAMA METHOD

Abstract

IN THIS PAPER, WE WILL PRESENT A NEW ALGORITHM FOR SOLVING ITO STOCHASTIC DIFFERENTIAL EQUATIONS (SDES) IN CONTINUOUS PIECEWISE POLYNOMIAL SPACE. IN THIS APPROACH, WE WILL EMPLOY PIECEWISE COLLOCATION METHOD FOR DRIFT AND DIFFUSION TERMS OF THE GIVEN EQUATION. CONVERGENCE ORDER OF THE METHOD IS INVESTIGATED AND SOME NUMERICAL EXAMPLES ARE CONSIDERED TO DEMONSTRATE THE EFFICIENCY AND ROBUSTNESS OF THE METHOD.

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APA: Copy

BASERI, A., GHOREISHI, F., & PISHBIN, S.. (2013). SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS. IRANIAN CONFERENCE ON APPLIED MATHEMATICS. SID. https://sid.ir/paper/929893/en

Vancouver: Copy

BASERI A., GHOREISHI F., PISHBIN S.. SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS. 2013. Available from: https://sid.ir/paper/929893/en

IEEE: Copy

A. BASERI, F. GHOREISHI, and S. PISHBIN, “SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS,” presented at the IRANIAN CONFERENCE ON APPLIED MATHEMATICS. 2013, [Online]. Available: https://sid.ir/paper/929893/en

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