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Numerical solution of stochastic fractional differential equations

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Abstract

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.

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  1. Department of Mathematics, Faculty of Sciences, Razi University, 67149, Kermanshah, Iran

    Minoo Kamrani

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  1. Minoo Kamrani
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Kamrani, M. Numerical solution of stochastic fractional differential equations. Numer Algor 68, 81–93 (2015). https://doi.org/10.1007/s11075-014-9839-7

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