Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation (Q1955098)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation |
scientific article |
Statements
Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation (English)
0 references
11 June 2013
0 references
Summary: A stochastic differential equation, SDE, describes the dynamics of a stochastic process defined on a space-time continuum. This paper reformulates the fractional stochastic integro-differential equation as a SDE. Existence and uniqueness of the solution to this equation is discussed. A numerical method for solving SDEs based on the Monte-Carlo Galerkin method is presented.
0 references
0 references
0 references
0 references