Numerical approximations for time-fractional Fokker-Planck-Kolmogorov equation of geometric Brownian motion.

The transition joint probability density function of the solution of geometric Brownian motion equation is presented by a deterministic parabolic time-fractional PDE (FPDE), named time-fractional Fokker-Planck-Kolmogorov equation. The main goal of the present work is to analyze on the numerical solutions of the consider FPDE based on Chebyshev wavelet collocation. The usefulness of the method is illustrated by some plotted graphs. [ABSTRACT FROM AUTHOR]