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numerical solution for a class of time-fractional stochastic delay differential equations with fractional brownian motion
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نویسنده
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banihashemi seddigheh ,babaei afshin ,jafari hossein
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منبع
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journal of mathematical extension - 2021 - دوره : 15 - شماره : 5 - صفحه:1 -23
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چکیده
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In this article, a numerical scheme is proposed to solve a class of time-fractional stochastic delay differential equations (tfsddes) with fractional brownian motion (fbm). first, we convert the tfsdde into a non-delay equation by using a step-by-step scheme. then, by applying a collocation method based on jacobi polynomials (jps) in each step, the non-delay equation is reduced to a nonlinear system of algebraic equations. the convergence analysis of the presented scheme is evaluated. finally, two numerical test examples are presented to highlight the applicability and efficiency of the investigated method.
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کلیدواژه
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stochastic delay differential equation ,fractional brownian motion ,step-by-step scheme ,jacobi collocation technique ,convergence analysis
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آدرس
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university of mazandaran, department of applied mathematics, iran, university of mazandaran, department of applied mathematics, iran, university of mazandaran, department of applied mathematics, iran
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پست الکترونیکی
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jafari@umz.ac.ir
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Authors
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