A New Approach to Approximate Solutions of Single Time-Delayed Stochastic Integral Equations via Orthogonal Functions

• Type: Article in International Scientific Journal
• Date: 2022

Authors

Kiaee, SN (Author) Other; Khodabin, M (Author) Other; Ezzati, R (Author) Other; António Mendes Lopes (Author) FEUP

Journal

Title: Symmetry

Vol. 14 No. 6

Final page: 2085

ISSN: 2073-8994

Publisher: MDPI

Indexing

ISI Web of Knowledge - 1 Citation

Scopus - 1 Citation

Other information

Authenticus ID: P-00X-9J0

DOI: 10.3390/sym14102085

Abstract (EN): This paper proposes a new numerical method for solving single time-delayed stochastic differential equations via orthogonal functions. The basic principles of the technique are presented. The new method is applied to approximate two kinds of stochastic differential equations with additive and multiplicative noise. Excellence computational burden is achieved along with a O(h(2)) convergence rate, which is better than former methods. Two examples are examined to illustrate the validity and efficiency of the new technique.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16