شماره ركورد كنفرانس :
3503
عنوان مقاله :
A spectral collocation method for solving stochastic fractional differential equations
Author/Authors :
Z. Taheri Kharazmi University , E. Babolian Kharazmi University
كليدواژه :
(stochastic fractional differential equations (SFDEs , Legendre spectral collocation method , Gauss type quadrature
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده لاتين :
Nowadays, fractional calculus is used to model various different phenomena in nature. The
purpose of this paper is to propose the spectral collocation method to solve stochastic fractional
differential equations (SFDEs). The proposed approach is different from other numerical techniques
as we consider the Legendre Gauss type quadrature for estimating Itô integrals. The
main characteristic of the presented method is that it reduces SFDEs into a system of algebraic
equations. Finally, numerical examples show the efficiency of the proposed method.