Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations

DOI10.22075/IJNAA.2017.1023.1198MaRDI QIDQ3133793zbMATH OpenOpenAlexFDO

Authors Mahnaz Asgari, Morteza Khodabin

Publication date 5 February 2018

Full work available at URL http://ijnaa.semnan.ac.ir/article_2783_c6fbfe31fd6236b020f1a1ec4c88ae52.pdf

zbMATH Keywords

Brownian motionstochastic operational matrixnonlinear stochastic differential equationtriangular functionItô integral

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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(8)

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• Application of triangular functions for solving the Vasicek model
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