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Numerical Implementation of Stochastic Operational Matrix Driven by a Fractional Brownian Motion for Solving a Stochastic Differential Equation

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  • R. Ezzati
  • M. Khodabin
  • Z. Sadati

Abstract

An efficient method to determine a numerical solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (FBM) with Hurst parameter and independent one-dimensional standard Brownian motion (SBM) is proposed. The method is stated via a stochastic operational matrix based on the block pulse functions (BPFs). With using this approach, the SDE is reduced to a stochastic linear system of equations and unknowns. Then, the error analysis is demonstrated by some theorems and defnitions. Finally, the numerical examples demonstrate applicability and accuracy of this method.

Suggested Citation

  • R. Ezzati & M. Khodabin & Z. Sadati, 2014. "Numerical Implementation of Stochastic Operational Matrix Driven by a Fractional Brownian Motion for Solving a Stochastic Differential Equation," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-11, March.
    • Handle: RePEc:hin:jnlaaa:523163
    DOI: 10.1155/2014/523163
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