A new approximation method for solving stochastic differential equations

We present a novel solution method for Itô stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main properties of the stochastic numerical methods, e.g. converge...

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Bibliographic Details
Published in:arXiv.org 2024-07
Main Author: Mojarrad, Faezeh Nassajian
Format: Article
Language:English
Subjects:
Approximation
Differential equations
Intervals
Numerical methods
Polynomials
Online Access:Get full text
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Summary:We present a novel solution method for Itô stochastic differential equations (SDEs). We subdivide the time interval into sub-intervals, then we use the quadratic polynomials for the approximation between two successive intervals. The main properties of the stochastic numerical methods, e.g. convergence, consistency, and stability are analyzed. We test the proposed method in SDE problem, demonstrating promising results.
ISSN:2331-8422