Application of triangular functions for solving the vasicek model

Subject Areas : History and biography

Z. Sadati ¹ , Kh. Maleknejad ²

1 - Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran
2 - Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran

Received: 2015-06-15 Accepted : 2015-11-18 Published : 2015-08-01

Keywords: collocation method, Triangular functions, Stochastic operational matrix, Vasicek model,

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 providedto demonstrate applicability and accuracy ofthis method.

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