Numerical simulation of stochastic differential equations under Poisson white noise with random parameters

Ihsane Salleh,Mohamed Ben Said,Lahcen Azrar

doi:10.1109/iraset48871.2020.9092281

Numerical simulation of stochastic differential equations under Poisson white noise with random parameters

Ihsane Salleh, Mohamed Ben Said + Show 1 more

https://doi.org/10.1109/iraset48871.2020.9092281

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Publication Date: Apr 1, 2020

Citations: 4

Affiliation: Mohammed V University, École Normale Supérieure de l'Enseignement Technique de Mohammedia, Abdelmalek Essaâdi University

#Poissonian White Noise #Radial Basis Functions + Show 8 more

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Abstract

In this work the Meshfree with radial basis functions is elaborated to solve Kolmogorov-Feller (KF) equation associated to stochastic differential equations excited by a Poissonian white noise with uncertain parameters. The general polynomial chaos method is also elaborated to compare the results obtained when the exact solution not available. The accuracy and the effective of these methods are demonstrated.

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