Numerical solution of fuzzy stochastic differential equation
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\(\alpha\)-cutEuler Maruyama methodIto integralstochastic differential equationtriangular fuzzy numbers
Fuzzy ordinary differential equations (34A07) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper an alternative approach to solve uncertain Stochastic Differential Equation (SDE) is proposed. This uncertainty occurs due to the involved parameters in system and these are considered as Triangular Fuzzy Numbers (TFN). Here the proposed fuzzy arithmetic in [2] is used as a tool to handle Fuzzy Stochastic Differential Equation (FSDE). In particular, a system of Ito stochastic differential equations is analysed with fuzzy parameters. Further exact and Euler Maruyama approximation methods with fuzzy values are demonstrated and solved some standard SDE.
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Cited in
(7)- Perturbational solutions for fuzzy-stochastic finite element equilibrium equations (FSFEEE)
- Iterative method for non-adapted fuzzy stochastic differential equations
- On fuzzy type-1 and type-2 stochastic ordinary and partial differential equations and numerical solution
- Stochastic differential equations with imprecisely defined parameters in market analysis
- Convergence and stability properties Euler method for solving fuzzy Stochastic differential equations
- Numerical solution of backward fuzzy SDEs with time delayed coefficients
- scientific article; zbMATH DE number 5135091 (Why is no real title available?)
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