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This paper proposes a new numerical method for solving single time-delayed stochastic differential equations via orthogonal functions. The basic principles of the technique are presented. The new method is applied… Click to show full abstract
This paper proposes a new numerical method for solving single time-delayed stochastic differential equations via orthogonal functions. The basic principles of the technique are presented. The new method is applied to approximate two kinds of stochastic differential equations with additive and multiplicative noise. Excellence computational burden is achieved along with a O(h2) convergence rate, which is better than former methods. Two examples are examined to illustrate the validity and efficiency of the new technique.
Journal Title: Symmetry
Year Published: 2022
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