Document Type : Research Paper

Author

• Zahra Sadati

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

Abstract

This paper presents an approach for solving a nonlinear stochastic differential equations (NSDEs) using a new basis functions (NBFs). These functions and their operational matrices are used for representing matrix form of the NBFs. With using this method in combination with the collocation method, the NSDEs are reduced a stochastic nonlinear system of equations and unknowns. Then, the error analysis is proved. Finally, numerical examples illustrate applicability and accuracy of the presented method.

Keywords

• New basis functions
• Standard Brownian motion
• Stochastic operational matrix
• Nonlinear stochastic differential equations