The spectral collocation method for      stochasticdifferential equations

Can Huang; Zhimin Zhang

doi:10.3934/dcdsb.2013.18.667

Article Contents

2013, Volume 18, Issue 3: 667-679. Doi: 10.3934/dcdsb.2013.18.667

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The spectral collocation method for stochastic differential equations

Can Huang^1, and
Zhimin Zhang^2,

1.
Department of Mathematics, Michigan State University, East Lansing, MI 48824
2.
Department of Mathematics, Wayne State University, Detroit, MI 48202

Received: December 31, 2011

Revised: August 31, 2012

Published: April 2013

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Abstract

In this paper, we use the Chebyshev spectral collocation method to solve a certain type of stochastic differential equations (SDEs). We also use this method to estimate parameters of stochastic differential equations from discrete observations by maximum likelihood technique and Kessler technique. Our numerical tests shows that the spectral method gives better results than the Euler's method and the Shoji-Ozaki method.

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Mathematics Subject Classification: Primary: 65C30; Secondary: 60H30.

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