Application of triangular functions for solving the Vasicek model

MaRDI QIDQ4618404zbMATH OpenFDO

Authors Z. Sadati, Khosrow Maleknejad

Publication date 5 February 2019

Full work available at URL http://jlta.iauctb.ac.ir/article_516259.html

zbMATH Keywords

collocation methodstochastic operational matrixtriangular functionsVasicek model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 3690402 (Why is no real title available?)
• scientific article; zbMATH DE number 7696316 (Why is no real title available?)
• A new set of orthogonal functions and its application to the analysis of dynamic systems
• A numerical method for solving m-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Applications of two-dimensional triangular functions for solving nonlinear class of mixed Volterra-Fredholm integral equations
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Stochastic Volterra equations with anticipating coefficients
• Stochastic differential equations. An introduction with applications.
• Triangular functions (TF) method for the solution of nonlinear Volterra-Fredholm integral equations
• Using triangular orthogonal functions for solving Fredholm integral equations of the second kind

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