Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations
Publish Year: 1396
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJNAA-8-2_016
تاریخ نمایه سازی: 11 آذر 1401
Abstract:
In this article, a new numerical method based on triangular functions for solving nonlinear stochastic differential equations is presented. For this, the stochastic operational matrix of triangular functions for It\^{o} integral are determined. Computation of presented method is very simple and attractive. In addition, convergence analysis and numerical examples that illustrate accuracy and efficiency of the method are presented.
Keywords:
Brownian motion , It^{o} integral , Nonlinear stochastic differential equation , Stochastic operational matrix , Triangular function