Indian Journal of Science and Technology
Year: 2016, Volume: 9, Issue: 29, Pages: 1-6
In this article, we prepare a new numerical method based on triangular functions for solving n-dimensional stochastic differential equations. At first stochastic operational matrices of triangular functions are derived then n-dimensional stochastic differential equations are solved recently. Convergence analysis and numerical examples are prepared to illustrate accuracy and efficiency of this approach.
Keywords: Brownian Motion, Itô Integral, N-dimensional Stochastic Differential Equations, Stochastic Operational Matrix, Triangular Functions
Subscribe now for latest articles and news.