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

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