Numerical simulation of stochastic differential equations under Poisson white noise with random parameters

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.