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)

Related Items (3)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Shifted Chebyshev spectral Galerkin method to solve stochastic Itô-Volterra integral equations driven by fractional Brownian motion appearing in mathematical physics ⋮ A Legendre-based computational method for solving a class of Itô stochastic delay differential equations

Uses Software

• Eigtool

Cites Work

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• The spectral collocation method for stochastic differential equations
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Nonlinear stability of \(\theta \)-methods for neutral differential equations in Banach space
• The improved split-step θ methods for stochastic differential equation
• Classroom Note:Calculation of Weights in Finite Difference Formulas
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• A Practical Guide to Pseudospectral Methods

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