Application of DJ method to Ito stochastic differential equations
محورهای موضوعی : Difference and functional equations
H. Deilami Azodi
1
(Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran)
کلید واژه: Stochastic differential equations, iterative methods, Ito calculus,
چکیده مقاله :
‎This paper develops iterative method described by [V‎. ‎Daftardar-Gejji‎, ‎H‎. ‎Jafari‎, ‎An iterative method for solving nonlinear functional equations‎, ‎J‎. ‎Math‎. ‎Anal‎. ‎Appl‎. ‎316 (2006) 753-763] to solve Ito stochastic differential equations‎. ‎The convergence of the method for Ito stochastic differential equations is assessed‎. ‎To verify efficiency of method‎, ‎some examples are expressed‎.
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