A new approximation method for solving stochastic differential equations

Faezeh Nassajian Mojarrad

A new approximation method for solving stochastic differential equations

Numerical Analysis 2024-08-01 v2 Numerical Analysis

Authors: Faezeh Nassajian Mojarrad

Abstract

We present a novel solution method for It\^o 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.

Keywords

stochastic differential equations differential equations numerical discretization

Cite

@article{arxiv.2407.19350,
  title  = {A new approximation method for solving stochastic differential equations},
  author = {Faezeh Nassajian Mojarrad},
  journal= {arXiv preprint arXiv:2407.19350},
  year   = {2024}
}

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