A note on Euler method for the overdamped generalized Langevin equation with fractional noise
DOI10.1016/J.AML.2020.106669zbMATH Open1450.65002OpenAlexW3048194140MaRDI QIDQ2006358FDOQ2006358
Authors: Xinjie Dai, Aiguo Xiao 
Publication date: 8 October 2020
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2020.106669
Recommendations
fractional Brownian motionconvergence rateEuler methodweakly singular kernelgeneralized Langevin equation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Numerical methods for integral equations (65R20) Fractional partial differential equations (35R11) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Anomalous Diffusion and the Generalized Langevin Equation
- Numerics for the fractional Langevin equation driven by the fractional Brownian motion
- Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
- Analytic approaches of the anomalous diffusion: a review
- Fractional stochastic differential equations satisfying fluctuation-dissipation theorem
- Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
- Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
- Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
Cited In (7)
- Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise
- Exponential stability and synchronisation of fuzzy Mittag–Leffler discrete-time Cohen–Grossberg neural networks with time delays
- Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
- Numerical simulations of generalized Langevin equations with deeply asymptotic parameters
- The overdamped generalized Langevin equation with Hermite noise
- Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
- An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
This page was built for publication: A note on Euler method for the overdamped generalized Langevin equation with fractional noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2006358)
