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

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

Fazlollah Soleymani, Philip A. Ernst

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 process; strong solution; stochastic delay differential equations; Legendre collocation method; Lamperti transformation

Mathematics Subject Classification ID

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

65L60: Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations

Uses Software

• Mathematica
• sde