Numerical approximations for time-fractional Fokker-Planck-Kolmogorov equation of geometric Brownian motion

被引：0

作者：

Hejazi, S. Reza ^{[1
]}

Habibi, Noora ^{[1
]}

Dastranj, Elham ^{[1
]}

Lashkarian, Elham ^{[1
]}

机构：

[1] Shahrood Univ Technol, Fac Math Sci, Shahrood, Semnan, Iran

来源：

JOURNAL OF INTERDISCIPLINARY MATHEMATICS | 2020年 / 23卷 / 07期

关键词：

Time-fractional PDE; Geometric Brownian motion; Chebyshev wavelet; CONSERVATION-LAWS; ORDER;

D O I：

10.1080/09720502.2020.1761045

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The transition joint probability density function of the solution of geometric Brownian motion equation is presented by a deterministic parabolic time-fractional PDE (FPDE), named time-fractional Fokker-Planck-Kolmogorov equation. The main goal of the present work is to analyze on the numerical solutions of the consider FPDE based on Chebyshev wavelet collocation. The usefulness of the method is illustrated by some plotted graphs.

引用

页码：1387 / 1403

页数：17

共 30 条

[1]

[Anonymous], 2007, APPL MATH NONLINEAR

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