A spectral method for stochastic fractional differential equations

摘要

The paper provides a spectral collocation numerical scheme for the approximation of the solutions of stochastic fractional differential equations. The discretization of the operator leads to a system of nonlinear algebraic equations, whose coefficient matrix can be computed by an automatic procedure, consisting of linear steps. A selection of numerical experiments confirming the effectiveness of the approach is given, with respect to various sets of function bases and of collocation points. (C) 2019 IMACS. Published by Elsevier B.V. All rights reserved.