A spectral method for stochastic fractional differential equations

The paper provides a spectral collocation numerical scheme for the approximation of the solutions of stochastic fractional differential equations. The discretization of the operator leads to a system of nonlinear algebraic equations, whose coefficient matrix can be computed by an automatic procedure, consisting of linear steps. A selection of numerical experiments confirming the effectiveness of the approach is given, with respect to various sets of function bases and of collocation points.