Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation (Q1955098)
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| Language | Label | Description | Also known as |
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| English | Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation |
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Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation (English)
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11 June 2013
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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.
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