Numerical spline method for simulation of stochastic differential equations systems

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.