Numerical solution of linear stochastic di erential equations driven by Brownian bridg motion through the block pulse functions

This article is proposed a method for solving the stochastic differential equation driven BrownianBridge motion by using stochastic operational matrix based on the block pulse functionsand the collocation method. Finally, numerical result state by using some examples.

کلیدواژه ها:

Block pulse function ، Brownian bridge motion ، stochastic differential equation