A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise

DOI10.1080/00949655.2022.2122969OpenAlexW4298139997WikidataQ115305313 ScholiaQ115305313MaRDI QIDQ6074160

Unnamed Author, Amjad Alipanah, Mohammadreza Yaghouti

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2022.2122969

zbMATH Keywords

stochastic differential equationconvergencecollocation methodscaling functionDaubechies wavelet

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Interpolation solution in generalized stochastic exponential population growth model
• The truncated Euler-Maruyama method for stochastic differential equations
• Exact solutions of stochastic differential equations: Gompertz, generalized logistic and revised exponential
• Numerical solution of stochastic differential equations with jumps in finance
• Galerkin-wavelet methods for two-point boundary value problems
• Numerical methods for simulation of stochastic differential equations
• Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Stochastic calculus. An introduction through theory and exercises
• A comparative analysis of efficiency of using the Legendre polynomials and trigonometric functions for the numerical solution of Ito stochastic differential equations
• On solving stochastic differential equations
• A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
• Second Order Runge–Kutta Methods for Itô Stochastic Differential Equations
• Lévy Processes and Stochastic Calculus
• Orthonormal bases of compactly supported wavelets
• Ten Lectures on Wavelets
• On the Representation of Operators in Bases of Compactly Supported Wavelets
• Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance
• Solving brachistochrone problem via scaling functions of Daubechies wavelets
• Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• Runge-Kutta methods for numerical solution of stochastic differential equations
• Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
• Stochastic differential equations. An introduction with applications.

This page was built for publication: A convergent wavelet-based method for solving linear stochastic differential equations included 1D and 2D noise