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Numerical solution of linear stochastic di erential equations driven by Brownian bridg motion through the block pulse functions

Publish place: 3rd Conference on Financial Mathematics and Applications
Publish Year: 1391
Type: Conference paper
Language: English
View: 579

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Link to this Paper:
https://civilica.com/doc/352667

Document National Code:

CFMA03_164

Index date: 6 June 2015

Numerical solution of linear stochastic di erential equations driven by Brownian bridg motion through the block pulse functions abstract

This article is proposed a method for solving the stochastic differential equation driven BrownianBridge motion by using stochastic operational matrix based on the block pulse functionsand the collocation method. Finally, numerical result state by using some examples.

Numerical solution of linear stochastic di erential equations driven by Brownian bridg motion through the block pulse functions Keywords:

Block pulse function , Brownian bridge motion , stochastic differential equation

Numerical solution of linear stochastic di erential equations driven by Brownian bridg motion through the block pulse functions authors

Z Sadati

Department of Mathematics, khomein Branch, Islamic Azad University, khomein, Iran