Chebyshev spectral collocation method for stochastic delay differential equations

被引：7
|
作者：
Yin, Zhengwei [1 ,2 ]
Gan, Siqing [1 ]
机构：
[1] Cent S Univ, Sch Math & Stat, Changsha 410083, Hunan, Peoples R China
[2] Henan Univ Sci & Technol, Sch Math & Stat, Luoyang 410083, Henan, Peoples R China
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2015年
基金：
中国国家自然科学基金;
关键词：
spectral collocation method; stochastic delay differential equations; Lamperti-type transformation; Chebyshev-Gauss-Lobatto nodes;
D O I：
10.1186/s13662-015-0447-1
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The purpose of the paper is to propose the Chebyshev spectral collocation method to solve a certain type of stochastic delay differential equations. Based on a spectral collocation method, the scheme is constructed by applying the differentiation matrix D-N to approximate the differential operator d/dt. D-N is obtained by taking the derivative of the interpolation polynomial P-N(t), which is interpolated by choosing the first kind of Chebyshev-Gauss-Lobatto points. Finally, numerical experiments are reported to show the accuracy and effectiveness of the method.
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页数：12
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