Numerical solution of nonlinear stochastic differential equations using the block pulse operational matrices

DOI10.1186/2251-7456-7-47MaRDI QIDQ405484zbMATH OpenOpenAlexWikidataFDO

Authors Mahnaz Asgari, Farkhondeh Hosseini Shekarabi

Publication date 5 September 2014

Published in Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 2.0 Generic

Full work available at URL https://doi.org/10.1186/2251-7456-7-47

zbMATH Keywords

stochastic operational matrixnonlinear stochastic differential equationblock pulse functionItô integral

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• A numerical method for solving m-dimensional stochastic itô-Volterra integral equations by stochastic operational matrix
• Direct method to solve Volterra integral equation of the first kind using operational matrix with block-pulse functions
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Mean square numerical solution of random differential equations: Facts and possibilities
• Numerical solution of Volterra integral and integro-differential equations of convolution type by using operational matrices of piecewise constant orthogonal functions
• Numerical solution of integral equations system of the second kind by block-pulse functions
• Numerical solution of stochastic Volterra integral equations by a stochastic operational matrix based on block pulse functions
• Numerical solution of stochastic differential equations by second order Runge-Kutta methods
• On a stochastic differential equation modeling of prey-predator evolution
• One linear analytic approximation for stochastic integrodifferential equations
• Population growth regulated by intraspecific competition for energy or time: Some simple representations
• Stochastic differential equations. An introduction with applications.

Cited in

(10)

• An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
• Application of new basis functions for solving nonlinear stochastic differential equations
• A novel and efficient operational matrix for solving nonlinear stochastic differential equations driven by multi-fractional Gaussian noise
• Numerical approximation of nonlinear stochastic Volterra integral equation based on Walsh function
• Numerical method for a kind of stochastic delay differential equation by using block pulse functions
• Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations
• A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion
• A numerical approach based on Pell polynomial for solving stochastic fractional differential equations
• Walsh function-based numerical approach for nonlinear stochastic integral equations: application to stochastic logistic models
• Application of operational matrices to numerical solution of stochastic SIR model

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