Stochastic Operational Matrix Method for Solving Stochastic Differential Equation by a Fractional Brownian Motion

被引：0
|
作者：
Mirzaee F. [1 ]
Hamzeh A. [1 ]
机构：
[1] Faculty of Mathematical Sciences and Statistics, Malayer University, P. O. Box 65719-95863, Malayer
来源：
International Journal of Applied and Computational Mathematics | 2017年 / 3卷 / Suppl 1期
关键词：
Error analysis; Fractional Brownian motion; Hat functions; Stochastic differential equation; Stochastic operational matrix;
D O I：
10.1007/s40819-017-0362-0
中图分类号：
学科分类号：
摘要：
This article proposes an effective method for solving stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H∈(0,12) and n independent one-dimensional standard Brownian motion. Hat basis functions and their stochastic operational matrix, convert the SDE into a linear lower triangular system. Also, the error analysis of the proposed method is investigated and we prove that the order of convergence is O(h 2 ). Then, numerical examples affirm the efficiency of the method. © 2017, Springer India Pvt. Ltd.
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页码：411 / 425
页数：14
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