Numerical Solution of Fuzzy Stochastic Differential Equation
Numerical Analysis
2015-02-11 v1 Artificial Intelligence
Mathematical Physics
math.MP
Numerical Analysis
Abstract
In this paper an alternative approach to solve uncertain Stochastic Differential Equation (SDE) is proposed. This uncertainty occurs due to the involved parameters in system and these are considered as Triangular Fuzzy Numbers (TFN). Here the proposed fuzzy arithmetic in [2] is used as a tool to handle Fuzzy Stochastic Differential Equation (FSDE). In particular, a system of Ito stochastic differential equations is analysed with fuzzy parameters. Further exact and Euler Maruyama approximation methods with fuzzy values are demonstrated and solved some standard SDE.
Keywords
Cite
@article{arxiv.1502.01321,
title = {Numerical Solution of Fuzzy Stochastic Differential Equation},
author = {Sukanta Nayak and Snehashish Chakraverty},
journal= {arXiv preprint arXiv:1502.01321},
year = {2015}
}