A Legendre-based computational method for solving a class of Itô stochastic delay differential equations

Author:

Ernst Philip A.ORCID,Soleymani FazlollahORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference34 articles.

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2. Amano, K.: A stochastic Grönwall inequality and its applications. J. Inequal. Pure Appl. Math. 6(Article 17), 5 (2005)

3. Arriojas, M., Hu, Y., Mohammed, S.-E.A., Pap, G.: A delayed Black and Scholes formula. Stoch. Anal. Appl. 25, 471–492 (2007)

4. Asgari, M., Hashemizadeh, E., Khodabin, M., Maleknedjad, K.: Numerical solution of nonlinear stochastic integral equation by stochastic operational matrix based on Bernstein polynomials. Bull. Math. Soc. Sci. Math. Roumanie Tome. 57, 3–12 (2014)

5. Baker, C.T.H., Buckwar, E.: Numerical analysis of explicit one-step methods for stochastic delay differential equations. LMS J. Comput. Math. 3, 315–335 (2000)

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