Numerics for the fractional Langevin equation driven by the fractional Brownian motion

DOI10.2478/s13540-013-0009-8zbMath1312.34093OpenAlexW2039438355MaRDI QIDQ2347296

Peng Guo, Caibin Zeng, Changpin Li, Yang Quan Chen

Publication date: 27 May 2015

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s13540-013-0009-8

zbMATH Keywords

mean square displacementnumerical algorithmCaputo derivativefluctuation dissipationfractional Langevin equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12) Fractional ordinary differential equations (34A08)

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Uses Software

• SimEstFBM

Cites Work

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