Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
type: Item
instance of: scholarly article
title: Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
zbMATH Open document ID: 1474.65010
DOI: 10.1155/2014/523163
author: Z. Sadati
author: R. Ezzati
author: Morteza Khodabin
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: An efficient method to determine a numerical solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (FBM) with Hurst parameter \(H \in(1 / 2, 1)\) and \(n\) independent one-dimensional standard Brownian motion (SBM) is proposed. The method is stated via a stochastic operational matrix based on the block pulse functions (BPFs). With using this approach, the SDE is reduced to a stochastic linear system of \(m\) equations and \(m\) unknowns. Then, the error analysis is demonstrated by some theorems and defnitions. Finally, the numerical examples demonstrate applicability and accuracy of this method.
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7022551
Wikidata QID: Q59039136
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/523163
OpenAlex ID: W1980241116
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description: scientific article; zbMATH DE number 7022551