In this paper, we present a Collocation method based on scalingfunction of Daubechies Wavelet(CDW) to solve linear stochastic dif-ferential equations with one and two dimensional noise. By applyingthis method, the problem transforms to a linear system of alge-braic equations with coefficients of expansion as unknowns. Due tointeresting properties of the Daubechies wavelet such as orthogo-nality, compactly support and vanishing moments, the coefficientsof expansion are obtained fast. The convergence of the proposedmethod is presented. To verify the accuracy and efficiency of theproposed method some numerical examples are provided.
