THE SPECTRAL COLLOCATION METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS

被引：7

作者：

Huang, Can ^{[1
]}

Zhang, Zhimin ^{[2
,3
]}

机构：

[1] Michigan State Univ, Dept Math, E Lansing, MI 48824 USA

[2] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[3] Beijing Computat Sci Res Ctr, Beijing 100084, Peoples R China

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2013年 / 18卷 / 03期

基金：

美国国家科学基金会;

关键词：

Spectral collocation method; strong convergence; Shoji-Ozaki method; Lamperti transform; RUNGE-KUTTA METHODS; ORDER; APPROXIMATIONS; JUMPS;

D O I：

10.3934/dcdsb.2013.18.667

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we use the Chebyshev spectral collocation method to solve a certain type of stochastic differential equations (SDEs). We also use this method to estimate parameters of stochastic differential equations from discrete observations by maximum likelihood technique and Kessler technique. Our numerical tests shows that the spectral method gives better results than the Euler's method and the Shoji-Ozaki method.

引用

页码：667 / 679

页数：13

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