A new solution method for stochastic differential equations via collocation approach

DOI10.1080/00207160.2015.1085029MaRDI QIDQ2958276zbMATH OpenOpenAlexFDO

Authors Ali R. Soheili, Fazlollah Soleymani

Publication date 1 February 2017

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2015.1085029

zbMATH Keywords

collocation methodLamperti transformorthogonal polynomialsstochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

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Cites work

• A Practical Guide to Pseudospectral Methods
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Classroom Note:Calculation of Weights in Finite Difference Formulas
• scientific article; zbMATH DE number 635667 (Why is no real title available?)
• scientific article; zbMATH DE number 2212009 (Why is no real title available?)
• Nonlinear stability of \(\theta \)-methods for neutral differential equations in Banach space
• The improved split-step θ methods for stochastic differential equation
• The spectral collocation method for stochastic differential equations
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(11)

• A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
• A family of Chaplygin-type solvers for Itô stochastic differential equations
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• Construction of some accelerated methods for solving scalar stochastic differential equations
• On solving stochastic differential equations
• Numerical solution of time-dependent stochastic partial differential equations using RBF partition of unity collocation method based on finite difference
• Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics
• An efficient spectral method for the numerical solution to some classes of stochastic differential equations
• Application of DJ method to Itô stochastic differential equations
• A Stochastic Collocation Method for Delay Differential Equations with Random Input
• On solving some stochastic delay differential equations by Daubechies wavelet

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Uses Software

• Eigtool

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