A New Approach based on Triangular Functions for  Solving N-dimensional Stochastic Differential Equations

M  Asgari  nbsp

doi:10.17485/ijst/2016/v9i29/47359

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A New Approach based on Triangular Functions for Solving N-dimensional Stochastic Differential Equations

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Indian Journal of Science and Technology

DOI: 10.17485/ijst/2016/v9i29/47359

Year: 2016, Volume: 9, Issue: 29, Pages: 1-6

Original Article

A New Approach based on Triangular Functions for Solving N-dimensional Stochastic Differential Equations

M. Asgari^*

Department of Engineering, mah–[email protected]
*Author for correspondence
Asgari
Department of Engineering,
Email: mah–[email protected]

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

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