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

This paper provides a numerical method for solving a class of Itô stochastic delay differential equations (SDDEs). The method’s novelty is its use of the spectral collocation approach using Legendre polynomials for solving SDDEs. We prove that the method is strongly convergent in L2 and proceed to demonstrate its computational efficiency and superior accuracy.

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