Numerical spline method for simulation of stochastic differential equations systems
Other Title(s)
طريقة شرائحية عددية لمحاكاة حل نظم من المعادلات التفاضلية العشوائية
Source
Journal of Natural Sciences, Life and Applied Sciences
Issue
Vol. 5, Issue 4 (31 Dec. 2021), pp.111-130, 20 p.
Publisher
Publication Date
2021-12-31
Country of Publication
Palestine (Gaza Strip)
No. of Pages
20
Main Subjects
Natural & Life Sciences (Multidisciplinary)
Abstract EN
In this paper, numerical spline method is presented with collocation two parameters for solving systems of multi- dimensional stochastic differential equations (SDEs).
Multi-Wiener's time-continuous process is simulated as a discrete process, and then the mean-square stability of proposed method when applied to a system of two-dimensional linear SDEs is studied.
The study shows that the method is mean-square stability and third-order convergent when applied to a system of linear and nonlinear SDEs.
Moreover, the effectiveness of our method was tested by solving two test linear and non- linear problems.
The numerical results show that the accuracy and applicability of the proposed method are worthy of attention.
American Psychological Association (APA)
Mahmud, Sulayman Muhammad& al-Wasuf, Ahmad& Ihsan, Ali Samir. 2021. Numerical spline method for simulation of stochastic differential equations systems. Journal of Natural Sciences, Life and Applied Sciences،Vol. 5, no. 4, pp.111-130.
https://search.emarefa.net/detail/BIM-1407734
Modern Language Association (MLA)
Mahmud, Sulayman Muhammad…[et al.]. Numerical spline method for simulation of stochastic differential equations systems. Journal of Natural Sciences, Life and Applied Sciences Vol. 5, no. 4 (Dec. 2021), pp.111-130.
https://search.emarefa.net/detail/BIM-1407734
American Medical Association (AMA)
Mahmud, Sulayman Muhammad& al-Wasuf, Ahmad& Ihsan, Ali Samir. Numerical spline method for simulation of stochastic differential equations systems. Journal of Natural Sciences, Life and Applied Sciences. 2021. Vol. 5, no. 4, pp.111-130.
https://search.emarefa.net/detail/BIM-1407734
Data Type
Journal Articles
Language
English
Notes
Record ID
BIM-1407734