Photo by shotsbywolf from unsplash
This paper provides a numerical method for solving a class of Itô stochastic delay differential equations (SDDEs). The method’s novelty is its use of the spectral collocation approach using Legendre… Click to show full abstract
This paper provides a numerical method for solving a class of Itô stochastic delay differential equations (SDDEs). The method’s novelty is its use of the spectral collocation approach using Legendre polynomials for solving SDDEs. We prove that the method is strongly convergent in L2 and proceed to demonstrate its computational efficiency and superior accuracy.
Keywords:
solving class;
method solving;
stochastic delay;
class stochastic;
differential equations;
delay differential
Journal Title: Numerical Algorithms
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Numerical Algorithms
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!