کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6931801 | 867708 | 2015 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An efficient computational method for solving nonlinear stochastic Itô integral equations: Application for stochastic problems in physics
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نرم افزارهای علوم کامپیوتر
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Because of the nonlinearity, closed-form solutions of many important stochastic functional equations are virtually impossible to obtain. Thus, numerical solutions are a viable alternative. In this paper, a new computational method based on the generalized hat basis functions together with their stochastic operational matrix of Itô-integration is proposed for solving nonlinear stochastic Itô integral equations in large intervals. In the proposed method, a new technique for computing nonlinear terms in such problems is presented. The main advantage of the proposed method is that it transforms problems under consideration into nonlinear systems of algebraic equations which can be simply solved. Error analysis of the proposed method is investigated and also the efficiency of this method is shown on some concrete examples. The obtained results reveal that the proposed method is very accurate and efficient. As two useful applications, the proposed method is applied to obtain approximate solutions of the stochastic population growth models and stochastic pendulum problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational Physics - Volume 283, 15 February 2015, Pages 148-168
Journal: Journal of Computational Physics - Volume 283, 15 February 2015, Pages 148-168
نویسندگان
M.H. Heydari, M.R. Hooshmandasl, C. Cattani, F.M. Maalek Ghaini,