A Legendre-based computational method for solving a class of Itô stochastic delay differential equations

DOI10.1007/s11075-018-0526-yOpenAlexW2800429541MaRDI QIDQ1736409

Philip A. Ernst, Fazlollah Soleymani

Publication date: 26 March 2019

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-018-0526-y

zbMATH Keywords

Wiener processstrong solutionstochastic delay differential equationsLegendre collocation methodLamperti transformation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Related Items

Numerical solution of Itô-Volterra integral equation by least squares method ⋮ Numerical solution of multi-pantograph delay boundary value problems via an efficient approach with the convergence analysis

Uses Software

• Mathematica
• sde

Cites Work

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