Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion

DOI10.1016/j.cam.2020.113210zbMath1466.60121OpenAlexW3091276424MaRDI QIDQ2222162

Yanyan Li

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113210

zbMATH Keywords

fractional Brownian motionfractional calculusquadratic interpolationfractional stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Fractional ordinary differential equations (34A08)

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