MODIFIED VARIATIONAL ITERATION METHOD FOR THE SOLUTIONS OF HESTON STOCHASTIC PARTIAL DIFFERENTIAL EQUATION USING THE MAMADU-NJOSEH ORTHOGONAL POLYNOMIALS

Abstract

The Variational Iteration Method (VIM) is a powerful tool in the field of numerical analysis in determining the numerical solutions of linear and non-linear differential equations. In this paper, a modified form of the VIM using the Mamadu-Njoseh polynomials (MNPs) as modifier and basis function was presented to approximate the Heston Stochastic Partial Differential Equation to its exact solution. Results obtained were compared with that of VIM available in literature and it showed that results obtained from the modified VIM converges faster than that of VIM.