Application of triangular functions for solving the vasicek model
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Abstract:
This paper introduces a numerical method for solving the vasicek model by using a stochastic operational matrix based on the triangular functions (TFs) in combination with the collocation method. The method is stated by using conversion the vasicek model to a stochastic nonlinear system of $2m+2$ equations and $2m+2$ unknowns. Finally, the error analysis and some numerical examples are provided to demonstrate applicability and accuracy of this method.
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Journal title
volume 04 issue 03
pages 173- 182
publication date 2015-08-01
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