The spectral collocation method for stochastic differential equations | Zendy

Can Huang | Zendy; Zhimin Zhang | Zendy

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The spectral collocation method for stochastic differential equations

Author(s) -

Can Huang,

Zhimin Zhang

Publication year - 2013

Publication title -

discrete and continuous dynamical systems - b

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.864

H-Index - 53

eISSN - 1553-524X

pISSN - 1531-3492

DOI - 10.3934/dcdsb.2013.18.667

Subject(s) - collocation method , spectral method , mathematics , collocation (remote sensing) , stochastic differential equation , chebyshev polynomials , chebyshev filter , euler method , mathematical analysis , euler's formula , differential equation , stochastic partial differential equation , computer science , ordinary differential equation , machine learning

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.

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