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Information Seminar Paper

Title

SPLINE COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s)

BASERI A. | GHOREISHI F. | PISHBIN S.

Pages

  -

Abstract

 IN THIS PAPER, WE WILL PRESENT A NEW ALGORITHM FOR SOLVING ITO STOCHASTIC DIFFERENTIAL EQUATIONS (SDES) IN CONTINUOUS PIECEWISE POLYNOMIAL SPACE. IN THIS APPROACH, WE WILL EMPLOY PIECEWISE COLLOCATION METHOD FOR DRIFT AND DIFFUSION TERMS OF THE GIVEN EQUATION. CONVERGENCE ORDER OF THE METHOD IS INVESTIGATED AND SOME NUMERICAL EXAMPLES ARE CONSIDERED TO DEMONSTRATE THE EFFICIENCY AND ROBUSTNESS OF THE METHOD.

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