Numerical solution of fuzzy stochastic differential equation

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.

• Publication year

  2015

• Venue

  Journal of Intelligent & Fuzzy Systems

• Publication date

  2015-02-02

• Fields of study

  Mathematics, Physics, Computer Science

• Identifiers
  DOI 10.3233/IFS-162168arXiv 1502.01321
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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