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Computational scheme for solving nonlinear fractional stochastic differential equations with delay.
- Source :
-
Stochastic Analysis & Applications . 2019, Vol. 37 Issue 6, p893-908. 16p. - Publication Year :
- 2019
-
Abstract
- This paper studies the numerical solution of fractional stochastic delay differential equations driven by Brownian motion. The proposed algorithm is based on linear B-spline interpolation. The convergence and the numerical performance of the method are analyzed. The technique is adopted for determining the statistical indicators of stochastic responses of fractional Langevin and Mackey-Glass models with stochastic excitations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 37
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 139194358
- Full Text :
- https://doi.org/10.1080/07362994.2019.1621182