Title of article
Numerical solution of nonlinear stochastic differential equations using the block pulse operational matrices
Author/Authors
Asgari, Mahnaz islamic azad university - Department of Engineering, ايران , Hosseini Shekarabi, Farkhondeh Islamic AzadUniversity, Karaj Branch - Department of Mathematics, ايران
From page
1
To page
5
Abstract
This article proposes an efficient numerical method for solving nonlinear stochastic differential equations. Using the operational matrices of block pulse functions, stochastic differential equations can be reduced to a system of algebraic equations. Computation of presented method is very simple and attractive. In addition, convergence analysis and numerical examples that illustrate accuracy and efficiency of the method are presented.
Keywords
Block pulse function , Itô integral , Nonlinear stochastic differential equation , Stochastic operational matrix
Journal title
Mathematical Sciences
Journal title
Mathematical Sciences
Record number
2569050
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