A Novel Simplified Methodology for Solving the Stochastic Fractional Differential Equation

Abstract

The stochastic fractional differential equation (SFDE) has been often cited in various disciplines e.g. turbulence, heterogeneous flows and materials etc. [1]. Unfortunately, solving the SFDE can be a rather complicated task. Therefore, a novel methodology for solving the SFDE has been proposed in this work. The proposed methodology is to firstly convert the SFDE to its equivalent vector stochastic differential equation (SDE) and solving the obtained equivalent SDE in a usual manner. Comparing to the previous ones [1-3], our methodology has been found to be much simpler. Moreover, it is also applicable to the SFDE of both linear and nonlinear type.