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Original Articles

A new solution method for stochastic differential equations via collocation approach

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Pages 2079-2091 | Received 03 Mar 2015, Accepted 13 Aug 2015, Published online: 23 Sep 2015
 

Abstract

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.

2010 AMS Subject Classifications:

Acknowledgments

The authors would like to record their sincerest thanks to three referees and the handling editor for several useful suggestions and criticisms, which resulted in an improved version of this work.

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This research was supported by a grant from Ferdowsi University of Mashhad [No. MA93318ARS].

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