An efficient spectral method for the numerical solution to stochastic differential equations - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Mathematical Methods in the Applied Sciences Année : 2021

An efficient spectral method for the numerical solution to stochastic differential equations

Résumé

We consider a new approach for the numerical approximation of stochastic differential equations driven by white noise. The proposed method shares some features with the stochastic collocation techniques and, in particular, it takes advantage of the assumption of smoothness of the functional to be approximated, to achieve fast convergence. The solution to the stochastic differential equation is represented by means of Lagrange polynomials. The coefficients of the polynomial basis are functions of time and they can be computed by solving a system of deterministic ordinary differential equations. Numerical examples are presented to illustrate the accuracy and the efficiency of the proposed method.
Fichier principal
Vignette du fichier
JCP9.pdf (384.26 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01666095 , version 1 (18-12-2017)

Identifiants

  • HAL Id : hal-01666095 , version 1

Citer

Cédric Chauvière, Hacène Djellout. An efficient spectral method for the numerical solution to stochastic differential equations. Mathematical Methods in the Applied Sciences, 2021, Mathematical Methods in the Applied Sciences, 44 (7). ⟨hal-01666095⟩
451 Consultations
481 Téléchargements

Partager

Gmail Facebook X LinkedIn More