Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations

In this article, a new numerical method based on triangular functions for solving  nonlinear stochastic differential equations is presented. For this, the stochastic operational matrix of triangular functions for It\^{o} integral are determined. Computation of presented method is very simple and attractive. In addition, convergence analysis and numerical examples that illustrate accuracy and efficiency of the method are presented.

کلیدواژه ها:

Brownian motion ، It^{o} integral ، Nonlinear stochastic differential equation ، Stochastic operational matrix ، Triangular function