Affiliation:
1. Department of Mathematics, Shanghai Normal University, Shanghai q 200234, China
Abstract
In this paper, a spectral collocation method is developed to numerically approximate a class of stochastic differential equations driven by the fractional Brownian motion. The convergence of the proposed method is proved. Numerical simulations are conducted to illustrate the performance of the proposed method in different cases.
Funder
National Natural Science Foundation of China
Publisher
World Scientific Pub Co Pte Ltd
Subject
General Physics and Astronomy,General Mathematics
Cited by
1 articles.
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