Application of triangular functions for solving the vasicek model

Journal of Linear and Topological Algebra

مقاله 2، دوره 04، شماره 03، آبان 2015، صفحه 173-182   

نوع مقاله: Research Paper

نویسندگان

Z. Sadati^* ؛ Kh. Maleknejad

Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran

چکیده

This paper introduces a numerical method for solving the vasicek model by using a stochastic operational matrix based on the triangular functions (TFs) in combination with the collocation method. The method is stated by using conversion the vasicek model to a stochastic nonlinear system of $2m+2$ equations and $2m+2$ unknowns. Finally, the error analysis and some numerical examples are provided to demonstrate applicability and accuracy of this method.

کلیدواژه‌ها

Triangular functions؛ Stochastic operational matrix؛ Vasicek model؛ collocation method

مراجع

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