{"title":"Numerical simulation of stochastic differential equations under Poisson white noise with random parameters","authors":"Ihsane Salleh, Mohamed Ben Said, L. Azrar","doi":"10.1109/IRASET48871.2020.9092281","DOIUrl":null,"url":null,"abstract":"In this work the Meshfree with radial basis functions is elaborated to solve Kolmogorov-Feller (KF) equation associated to stochastic differential equations excited by a Poissonian white noise with uncertain parameters. The general polynomial chaos method is also elaborated to compare the results obtained when the exact solution not available. The accuracy and the effective of these methods are demonstrated.","PeriodicalId":271840,"journal":{"name":"2020 1st International Conference on Innovative Research in Applied Science, Engineering and Technology (IRASET)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 1st International Conference on Innovative Research in Applied Science, Engineering and Technology (IRASET)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/IRASET48871.2020.9092281","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
In this work the Meshfree with radial basis functions is elaborated to solve Kolmogorov-Feller (KF) equation associated to stochastic differential equations excited by a Poissonian white noise with uncertain parameters. The general polynomial chaos method is also elaborated to compare the results obtained when the exact solution not available. The accuracy and the effective of these methods are demonstrated.
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