Spectral Collocation Method for Stochastic Differential Equations Driven by Fractional Brownian Motion

被引：1

作者：

He, Jie ^{[1
]}

Xing, Zhuo ^{[1
]}

Guo, Qian ^{[1
]}

机构：

[1] Shanghai Normal Univ, Dept Math, Shanghai 200234, Peoples R China

来源：

FLUCTUATION AND NOISE LETTERS | 2023年 / 22卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Spectral collocation method; stochastic differential equation; fractional Brownian motion;

D O I：

10.1142/S0219477523500190

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, a spectral collocation method is developed to numerically approximate a class of stochastic differential equations driven by the fractional Brownian motion. The convergence of the proposed method is proved. Numerical simulations are conducted to illustrate the performance of the proposed method in different cases.

引用

页数：8

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