A novel study based on shifted Jacobi polynomials to find the numerical solutions of nonlinear stochastic differential equations driven by fractional Brownian motion
DOI10.1515/CMAM-2022-0187zbMATH Open1522.65014WikidataQ117219055 ScholiaQ117219055MaRDI QIDQ6167770FDOQ6167770
Authors: P. K. Singh, S. Saha Ray 
Publication date: 7 August 2023
Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)
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shifted Jacobi polynomialfractional Brownian motionconvergence analysisoperational matricesnonlinear stochastic differential equations
Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Volterra integral equations (45D05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
Cites Work
- Fractional Brownian Motions, Fractional Noises and Applications
- Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
- A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
- A collocation technique for solving nonlinear stochastic Itô-Volterra integral equations
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion using block pulse functions
- Numerical solution based on hat functions for solving nonlinear stochastic Itô Volterra integral equations driven by fractional Brownian motion
- Numerical solution of nonlinear 2D Volterra-Fredholm integro-differential equations by two-dimensional triangular function
- Numerical solution of fractional differential equations using Haar wavelet operational matrix method
- Title not available (Why is that?)
- Numerical solution of nonlinear stochastic Itô-Volterra integral equations driven by fractional Brownian motion
- New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion
- Two dimensional wavelets collocation scheme for linear and nonlinear Volterra weakly singular partial integro-differential equations
- Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
- Numerical solution of stochastic Itô-Volterra integral equation by using shifted Jacobi operational matrix method
- Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion
- A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion
Cited In (7)
- Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
- A novel and efficient operational matrix for solving nonlinear stochastic differential equations driven by multi-fractional Gaussian noise
- Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks
- Jacobi polynomials for the numerical solution of multi-dimensional stochastic multi-order time fractional diffusion-wave equations
- A new effective coherent numerical technique based on shifted Vieta-Fibonacci polynomials for solving stochastic fractional integro-differential equation
- Enhanced moving least squares method for solving the stochastic fractional Volterra integro-differential equations of Hammerstein type
- A collocation method for nonlinear stochastic differential equations driven by fractional Brownian motion and its application to mathematical finance
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