Lagrange interpolation polynomials for solving nonlinear stochastic integral equations

DOI10.1007/s11075-023-01659-xMaRDI QIDQ6543327

Ikram Boukhelkhal, Rebiha Zeghdane

Publication date: 24 May 2024

Published in: Numerical Algorithms (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationcollocation methodBrownian motionLagrange interpolationGauss-Legendre quadrature

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Dynamical systems in numerical analysis (37N30) Numerical analysis (65-XX)

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