Numerical solution of fuzzy stochastic differential equation

被引：4

作者：

Nayak, S. ^{[1
]}

Chakraverty, S. ^{[1
]}

机构：

[1] Natl Inst Technol, Dept Math, Rourkela 769008, Odisha, India

来源：

JOURNAL OF INTELLIGENT & FUZZY SYSTEMS | 2016年 / 31卷 / 01期

关键词：

Stochastic differential equation (SDE); Ito integral; Euler Maruyama method; triangular fuzzy numbers (TFN); alpha-cut; REACTOR;

D O I：

10.3233/IFS-162168

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper investigates the solution of fuzzy Stochastic Differential Equation (SDE). The involved parameters in the governing SDEs are considered as fuzzy. A transformation method has been used to operate the fuzzy numbers. System of Ito stochastic differential equations containing fuzzy parameters has been modelled here which is based on the transformation method. Further, fuzzy Euler Maruyama approximation method has also been proposed. Finally standard fuzzy SDEs are solved to demonstrate the proposed methods.

引用

页码：555 / 563

页数：9

共 17 条

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].