A spectral method for stochastic fractional differential equations (Q2633525): Difference between revisions
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Revision as of 07:55, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A spectral method for stochastic fractional differential equations |
scientific article |
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A spectral method for stochastic fractional differential equations (English)
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9 May 2019
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The paper is concerned with initial value problems for 1D fractional differential equations with an additional stochastic term modelled by an Ito integral with respect to a standard Wiener process. A collocation method is proposed for computing numerical approximations. For two different sets of basis functions (powers and Jacobi polynomials), numerical experiments are carried out, showing superiority of the Jacobi polynomials and Chebychev-distributed collocation points.
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stochastic fractional differential equations
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spectral methods
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Chebychev collocation
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Ito integral
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