Computational scheme for solving nonlinear fractional stochastic differential equations with delay

DOI10.1080/07362994.2019.1621182OpenAlexW2948992794WikidataQ127779523 ScholiaQ127779523MaRDI QIDQ5240640

No author found.

Publication date: 29 October 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2019.1621182

zbMATH Keywords

numerical methoddelay differential equationstochastic calculusfractional calculuslinear B-spline interpolation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional-differential equations with fractional derivatives (34K37)

Related Items (18)

An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays ⋮ Numerical treatment of a fractional order system of nonlinear stochastic delay differential equations using a computational scheme ⋮ The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance ⋮ A class of computational approaches for simulating fractional functional differential equations via Dickson polynomials ⋮ Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations ⋮ Improved Gegenbauer spectral tau algorithms for distributed-order time-fractional telegraph models in multi-dimensions ⋮ Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion ⋮ Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion ⋮ Optimization of exact controllability for fractional impulsive partial stochastic differential systems via analytic sectorial operators ⋮ Computational technique for a class of nonlinear distributed-order fractional boundary value problems with singular coefficients ⋮ Existence and uniqueness of global solution for a Cauchy problem and \(g\)-variational calculus ⋮ Unnamed Item ⋮ General Lagrange scaling functions: application in general model of variable order fractional partial differential equations ⋮ Controllability of fractional stochastic delay dynamical systems ⋮ Some new generalized fractional Newton's type inequalities for convex functions ⋮ An efficient computational approach for nonlinear variable order fuzzy fractional partial differential equations ⋮ A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic evolution equation with Riesz-fractional derivative and white noise on the half-line
• Sobolev-type fractional stochastic differential equations with non-Lipschitz coefficients
• A fast numerical method to price American options under the Bates model
• Numerical approaches to fractional calculus and fractional ordinary differential equation
• From the Ehrenfest model to time-fractional stochastic processes
• \(\theta\)-Maruyama methods for nonlinear stochastic differential delay equations
• Complex time-delay systems. Theory and applications
• On existence results for impulsive fractional neutral stochastic integro-differential equations with nonlocal and state-dependent delay conditions
• Existence and uniqueness of solutions for stochastic differential equations of fractional-order \(q > 1\) with finite delays
• Using radial basis functions to solve two dimensional linear stochastic integral equations on non-rectangular domains
• A unified numerical scheme for the multi-term time fractional diffusion and diffusion-wave equations with variable coefficients
• Euler polynomial solutions of nonlinear stochastic Itô-Volterra integral equations
• Existence of solutions and approximate controllability of fractional nonlocal stochastic differential equations of order \(1<q\leq 2\) with infinite delay and Poisson jumps
• Numerical simulation of fractional-order dynamical systems in noisy environments
• On the numerical solution of fractional stochastic integro-differential equations via meshless discrete collocation method based on radial basis functions
• Optimal variable-order fractional PID controllers for dynamical systems
• ADI schemes for valuing European options under the Bates model
• Stable fractional Chebyshev differentiation matrix for the numerical solution of multi-order fractional differential equations
• Efficient modified Chebyshev differentiation matrices for fractional differential equations
• Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
• Qualitative analysis of a stochastic epidemic model with specific functional response and temporary immunity
• Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
• Fractional time stochastic partial differential equations
• Numerical solution of stochastic differential equations in the sense of Stratonovich in an amorphization crystal lattice model
• Numerical solution of stochastic fractional integro-differential equation by the spectral collocation method
• A computational approach for the solution of a class of variable-order fractional integro-differential equations with weakly singular kernels
• Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
• An efficient cubic spline approximation for variable-order fractional differential equations with time delay
• Solved Problems in Dynamical Systems and Control
• Dynamic Stochastic Inventory Management with Reference Price Effects
• Asymptotic stability of fractional impulsive neutral stochastic partial integro-differential equations with infinite delay
• Existence result for fractional neutral stochastic integro-differential equations with infinite delay
• A Theoretical Basis for the Application of Fractional Calculus to Viscoelasticity
• Numerical solutions of stochastic Fisher equation to study migration and population behavior in biological invasion
• Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Computational scheme for solving nonlinear fractional stochastic differential equations with delay