A new solution method for stochastic differential equations via collocation approach

The objective of this paper is to propose a novel solution method for Itô stochastic differential equations (SDEs). It is discussed that how the SDEs could numerically be solved as matrix problems. To improve the accuracy of this technique in contrast to the existing solvers, some non-uniform grids...

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Bibliographic Details
Published inInternational journal of computer mathematics Vol. 93; no. 12; pp. 2079 - 2091
Main Authors Soheili, Ali R., Soleymani, F.
Format Journal Article
LanguageEnglish
Published Abingdon Taylor & Francis 01.12.2016
Taylor & Francis Ltd
Subjects
Accuracy
Approximation
collocation method
Computer science
Differential equations
Discretization
Lamperti transform
Mathematical analysis
Mathematical models
orthogonal polynomials
Polynomials
Solvers
stochastic differential equations
Stochasticity
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Summary:The objective of this paper is to propose a novel solution method for Itô stochastic differential equations (SDEs). It is discussed that how the SDEs could numerically be solved as matrix problems. To improve the accuracy of this technique in contrast to the existing solvers, some non-uniform grids of points for discretizations along the time direction are applied. Finally, the high accuracy of approximated solutions in this way are illustrated by several experiments.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 23
ISSN:0020-7160
1029-0265
DOI:10.1080/00207160.2015.1085029