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Numerical Solution of Fuzzy Stochastic Differential Equation (1502.01321v1)
Published 3 Feb 2015 in cs.NA, cs.AI, math-ph, math.MP, and math.NA
Abstract: In this paper an alternative approach to solve uncertain Stochastic Differential Equation (SDE) is proposed. This uncertainty occurs due to the involved parameters in system and these are considered as Triangular Fuzzy Numbers (TFN). Here the proposed fuzzy arithmetic in [2] is used as a tool to handle Fuzzy Stochastic Differential Equation (FSDE). In particular, a system of Ito stochastic differential equations is analysed with fuzzy parameters. Further exact and Euler Maruyama approximation methods with fuzzy values are demonstrated and solved some standard SDE.