Numerical solution of stochastic fractional differential equations

被引：62

作者：

Kamrani, Minoo ^{[1
]}

机构：

[1] Razi Univ, Fac Sci, Dept Math, Kermanshah 67149, Iran

来源：

NUMERICAL ALGORITHMS | 2015年 / 68卷 / 01期

关键词：

Stochastic fractional differential equations; Galerkin approximation; Convergence; VARIATIONAL ITERATION METHOD; HOMOTOPY ANALYSIS METHOD; APPROXIMATIONS; DERIVATIVES; NOISE;

D O I：

10.1007/s11075-014-9839-7

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Nowadays, fractional calculus is used to model various different phenomena in nature. The aim of this paper is to investigate the numerical solution of stochastic fractional differential equations (SFDEs) driven by additive noise. By applying Galerkin method that is based on orthogonal polynomials which here we have used Jacobi polynomials, we prove the convergence of the method. Numerical examples confirm the efficiency of the method.

引用

页码：81 / 93

页数：13

共 50 条

[21] Accelerating numerical solution of stochastic differential equations with CUDA
Januszewski, M.
Kostur, M.
COMPUTER PHYSICS COMMUNICATIONS, 2010, 181 (01) : 183 - 188
[22] Rounding error in numerical solution of stochastic differential equations
Arciniega, A
Allen, E
STOCHASTIC ANALYSIS AND APPLICATIONS, 2003, 21 (02) : 281 - 300
[23] Weak solution of stochastic differential equations with fractional diffusion coefficient
Yang, Hao
Kloeden, Peter E.
Wu, Fuke
STOCHASTIC ANALYSIS AND APPLICATIONS, 2018, 36 (04) : 613 - 621
[24] Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
Makarov, RN
RUSSIAN JOURNAL OF NUMERICAL ANALYSIS AND MATHEMATICAL MODELLING, 2003, 18 (05) : 397 - 412
[25] Numerical Solution of Stochastic Fractional Integro-Differential Equations: The Poly-sinc Collocation Approach
Bahmani, Faezeh
Eftekhari, Ali
IRANIAN JOURNAL OF SCIENCE, 2025, 49 (01) : 117 - 132
[26] Existence, uniqueness and numerical solution of stochastic fractional differential equations with integer and non-integer orders
Araz, Seda I. G. R. E. T.
Cetin, Mehmet Akif
Atangana, Abdon
ELECTRONIC RESEARCH ARCHIVE, 2024, 32 (02): : 733 - 761
[27] Numerical solution for solving fractional parabolic partial differential equations
Rashidinia, Jalil
Mohmedi, Elham
COMPUTATIONAL METHODS FOR DIFFERENTIAL EQUATIONS, 2022, 10 (01): : 121 - 143
[28] Algorithms for the Numerical Solution of Fractional Differential Equations with Interval Parameters
Morozov A.Y.
Reviznikov D.L.
Journal of Applied and Industrial Mathematics, 2023, 17 (04) : 815 - 827
[29] An efficient parallel algorithm for the numerical solution of fractional differential equations
Kai Diethelm
Fractional Calculus and Applied Analysis, 2011, 14 : 475 - 490
[30] Numerical Solution of Fractional Differential Equations: A Survey and a Software Tutorial
Garrappa, Roberto
MATHEMATICS, 2018, 6 (02):

← 1 2 3 4 5 →