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A New Approach based on Triangular Functions for Solving N-dimensional Stochastic Differential Equations
In this article, we prepare a new numerical method based on triangular functions for solving n-dimensional stochastic differential equations. At first stochastic operational matrices of triangular functions are derived then n-dimensional stochastic differential equations are solved recently. Convergence analysis and numerical examples are prepared to illustrate accuracy and efficiency of this approach.
Brownian Motion, Itô Integral, N-dimensional Stochastic Differential Equations, Stochastic Operational Matrix, Triangular Functions.
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