KARHUNEN-LOÉVE EXPANSION OF BROWNIAN MOTION FOR APPROXIMATE SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL MODELS USING PICARD ITERATION

KARHUNEN-LOÉVE EXPANSION OF BROWNIAN MOTION FOR APPROXIMATE SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL MODELS USING PICARD ITERATION

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This work presents an application of the Picard Iterative Method (PIM) to a class of Stochastic Differential Equations where the randomness in the equation is considered in terms of the Karhunen-Loéve Expansion finite series. Two applicable numerical examples are considered to illustrate the convergence of the approximate solutions to the exact solutions and also to check the efficiency of the...
 
Published at J. Math. Comput. Sci.
Volume 10
Issue 5
Pages 1712 1723
Published in 2020
 
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O.P. OGUNDILE, S.O. EDEKI
Ogundile Opeyemi » Opeyemi Paul Ogundile obtained his B.Sc and M.Sc in Industrial Mathematics from Covenant University. He works as a researcher and Lecturer at the department of mathematics, Covenant University,Ota, Ogun State. His research interests include: Financial and Computational Mathematics, Modelling, Stochastic processes and numerics. view full profile
Ogundile Opeyemi
 
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