A new solution method for stochastic differential equations via collocation approach

DOI10.1080/00207160.2015.1085029zbMath1355.65017OpenAlexW1755682309MaRDI QIDQ2958276

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 methodorthogonal polynomialsstochastic differential equationsLamperti transform

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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Uses Software

• Eigtool

Cites Work

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• A Practical Guide to Pseudospectral Methods