Sadati, Z., Maleknejad, K. (2015). Application of triangular functions for solving the vasicek model. Journal of Linear and Topological Algebra (JLTA), 04(03), 173-182.

Z. Sadati; Kh. Maleknejad. "Application of triangular functions for solving the vasicek model". Journal of Linear and Topological Algebra (JLTA), 04, 03, 2015, 173-182.

Sadati, Z., Maleknejad, K. (2015). 'Application of triangular functions for solving the vasicek model', Journal of Linear and Topological Algebra (JLTA), 04(03), pp. 173-182.

Sadati, Z., Maleknejad, K. Application of triangular functions for solving the vasicek model. Journal of Linear and Topological Algebra (JLTA), 2015; 04(03): 173-182.

Application of triangular functions for solving the vasicek model

^{}Department of Mathematics, Khomein Branch, Islamic Azad University, Khomein, Iran

Abstract

This paper introduces a numerical method for solving the vasicek model by using a stochastic operational matrix based on the triangular functions (TFs) in combination with the collocation method. The method is stated by using conversion the vasicek model to a stochastic nonlinear system of $2m+2$ equations and $2m+2$ unknowns. Finally, the error analysis and some numerical examples are provided to demonstrate applicability and accuracy of this method.

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