Numerical solution of stochastic fractional differential equations

被引：0

作者：

Minoo Kamrani

机构：

[1] Razi University,Department of Mathematics, Faculty of Sciences

来源：

Numerical Algorithms | 2015年 / 68卷

关键词：

Stochastic fractional differential equations; Galerkin approximation; Convergence;

D O I：

暂无

中图分类号：

学科分类号：

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：12

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