Numerical implementation a stochastic operational matrix for solving a nonlinear backward stochastic differential equation
نویسندگان
چکیده
منابع مشابه
Numerical implementation a stochastic operational matrix for solving a nonlinear backward stochastic differential equation
In this paper, a computational technique is proposed for solving a nonlinear backward stochastic differential equation involving standard Brownian motion. The method is presented via the block pulse functions in combination with the collocation method. With using this approach, the nonlinear backward stochastic differential is reduced to a stochastic nonlinear system of 2m equations and 2m unkn...
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ژورنال
عنوان ژورنال: Journal of Soft Computing and Applications
سال: 2014
ISSN: 2195-576X
DOI: 10.5899/2014/jsca-00038