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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Published in:arXiv.org 2024-07
Main Author: Mojarrad, Faezeh Nassajian
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Language:English
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Approximation
Differential equations
Intervals
Numerical methods
Polynomials
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description 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.
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subjects Approximation
Differential equations
Intervals
Numerical methods
Polynomials
title A new approximation method for solving stochastic differential equations
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