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Computational scheme for solving nonlinear fractional stochastic differential equations with delay |
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| Authors: | B. P. Moghaddam A. Mendes Lopes J. A. Tenreiro Machado Z. S. Mostaghim |
| Affiliation: | 1. Department of Mathematics, Lahijan Branch, Islamic Azad University, Lahijan, Iran;2. UISPA-LAETA/INEGI, Faculty of Engineering, University of Porto, Porto, Portugal;3. parsa@liau.ac.ir;5. UISPA-LAETA/INEGI, Faculty of Engineering, University of Porto, Porto, Portugal;6. Department of Electrical Engineering, Institute of Engineering, Porto, Portugal |
| Abstract: | AbstractThis 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. |
| Keywords: | Fractional calculus stochastic calculus delay differential equation numerical method linear B-spline interpolation |