Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation

DOI10.1155/2014/523163zbMath1474.65010OpenAlexW1980241116WikidataQ59039136 ScholiaQ59039136MaRDI QIDQ1724323

Z. Sadati, Morteza Khodabin, Reza Ezzati

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/523163

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

Numerical solution of nonlinear stochastic Itô-Volterra integral equations based on Haar wavelets ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ NUMERICAL SOLUTION OF PERSISTENT PROCESSES-BASED FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ An efficient approach based on radial basis functions for solving stochastic fractional differential equations ⋮ Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion ⋮ Moving least squares and spectral collocation method to approximate the solution of stochastic Volterra-Fredholm integral equations ⋮ Numerical method for solving linear stochasticIto--Volterra integral equations driven by fractional Brownian motion using hat functions ⋮ Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions ⋮ Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion

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