Numerical solution of fuzzy stochastic differential equation

DOI10.3233/IFS-162168zbMath1368.65013arXiv1502.01321OpenAlexW2963227761WikidataQ115222723 ScholiaQ115222723MaRDI QIDQ5273420

S. Chakraverty, Sukanta Nayak

Publication date: 6 July 2017

Published in: Journal of Intelligent & Fuzzy Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.01321

zbMATH Keywords

stochastic differential equationtriangular fuzzy numbersIto integral\(\alpha\)-cutEuler Maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Fuzzy ordinary differential equations (34A07)

Related Items (1)

Stochastic differential equations with imprecisely defined parameters in market analysis

Cites Work

• The Pricing of Options and Corporate Liabilities
• Numerical methods for nonlinear stochastic differential equations with jumps
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Numerical Solution of Stochastic Differential Equations in Finance
• Numerical Treatment of Stochastic Differential Equations
• The numerical solution of stochastic differential equations
• ON FUZZY STOCHASTIC DIFFERENTIAL EQUATIONS
• Stochastic differential equations. An introduction with applications.
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