A new solution method for stochastic differential equations via collocation approach |
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Authors: | Ali R. Soheili F. Soleymani |
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Affiliation: | 1. Department of Applied Mathematics, Faculty of Mathematics, Ferdowsi University of Mashhad, Mashhad, Iran;2. The Center of Excellence on Modelling and Control Systems, Ferdowsi University of Mashhad, Mashhad, Iran |
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Abstract: | The objective of this paper is to propose a novel solution method for Itô stochastic differential equations (SDEs). It is discussed that how the SDEs could numerically be solved as matrix problems. To improve the accuracy of this technique in contrast to the existing solvers, some non-uniform grids of points for discretizations along the time direction are applied. Finally, the high accuracy of approximated solutions in this way are illustrated by several experiments. |
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Keywords: | stochastic differential equations collocation method Lamperti transform orthogonal polynomials |
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