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Farshid Mirzaee

Farshid Mirzaee

Academic rank: Professor
ORCID: 0000-0002-1429-2548
Education: PhD.
ScopusId: 6508385954
HIndex: 34/00
Faculty: Mathematical Sciences and Statistics
Address: Faculty of Mathematical Sciences and Statistics, Department of Applied Mathematics, Malayer University, 4 Km Malayer-Arak Road, P. O. Box 65719-95863, Malayer, Iran.
Phone: +98 - 81 - 32457459

Research

Title
Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion
Type
JournalPaper
Keywords
Stochastic differential equations, Evolution equation, Fractional Brownian motion process, Hybrid functions, Operational matrix method, Error analysis
Year
2020
Journal Communications in Nonlinear Science and Numerical Simulation
DOI
Researchers Farshid Mirzaee

Abstract

We are involved in this study with hybrid functions consisting of Taylor polynomials and block-pulse functions and use them as basis functions to achieve the numerical solution of stochastic evolution equation with fractional Brownian motion (FBM). First, we com- pute stochastic operational matrix based on hybrid Taylor block-pulse functions (HTBPFs) that this operator able us obtain an applicable procedure for solving stochastic integral equations (SIEs) and stochastic differential equations (SDEs) such as stochastic evolution equation. Then, we use this operator and HTBPFs ordinary operational matrix to convert solving stochastic evolution equations with FBM into solving a system of easily solvable algebraic equations. Under some mild conditions we prove that our proposed method is convergent when M , N → ∞ , where N and M are the order of block-pulse functions and Taylor polynomials, respectively. Finally, we utilize the mentioned method for solving two test problems that their exact solution is available. Comparison obtained approximate solu- tion with the exact solution demonstrate that the values of absolute error can be ignored and thus obtained solution has a good degree of accuracy. Furthermore, the theoretical discussions and numerical examples confirm that by increasing the values of N and M , the approximate solution tends to the exact solution.