Applications of modified Bessel polynomials to solve a nonlinear choatic fractional-order system in the financial market: Domain-splitting collocation techniques

Date

2023

Authors

Izadi, Mohammad
Srivastava, Hari Mohan

Journal Title

Journal ISSN

Volume Title

Publisher

Computation

Abstract

We propose two accurate and efficient spectral collocation techniques based on a (novel) domain-splitting strategy to handle a nonlinear fractional system consisting of three ODEs arising in financial modeling and with chaotic behavior. One of the major numerical difficulties in designing traditional spectral methods is in the handling of model problems on a long computational domain, which usually yields to loss of accuracy. One remedy is to split the underlying domain and apply the spectral method locally in each subdomain rather than on the global domain of interest. To treat the chaotic financial system numerically, we use the generalized version of modified Bessel polynomials (GMBPs) in the collocation matrix approaches along with the domain-splitting strategy. Whereas the first matrix collocation scheme is directly applied to the financial model problem, the second one is a combination of the quasilinearization method and the direct first numerical matrix method. In the former approach, we arrive at nonlinear algebraic matrix equations while the resulting systems are linear in the latter method and can be solved more efficiently. A convergence theorem related to GMBPs is proved and an upper bound for the error is derived. Several simulation outcomes are provided to show the utility and applicability of the presented matrix collocation procedures.

Description

Keywords

collocation points, Liouville-Caputo fractional operator, chaotic system, convergent analysis, financial model, modified Bessel functions

Citation

Izadi, M., & Srivastava, H. M. (2023). Applications of modified Bessel polynomials to solve a nonlinear chaotic fractional-order system in the financial market: Domain-splitting collocation techniques. Computation, 11(7), 130. https://doi.org/10.3390/computation11070130