A note on Euler method for the overdamped generalized Langevin equation with fractional noise

DOI10.1016/J.AML.2020.106669MaRDI QIDQ2006358zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convergence rateEuler methodfractional Brownian motiongeneralized Langevin equationweakly singular kernel

Mathematics Subject Classification ID

Fractional partial differential equations (35R11) Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for integral equations (65R20)

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Cites work

• Analytic approaches of the anomalous diffusion: a review
• Anomalous diffusion and the generalized Langevin equation
• Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
• 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
• Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
• Numerics for the fractional Langevin equation driven by the fractional Brownian motion
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations

Cited in

(7)

• 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
• Exponential stability and synchronisation of fuzzy Mittag-Leffler discrete-time Cohen-Grossberg neural networks with time delays
• Numerical simulations of generalized Langevin equations with deeply asymptotic parameters
• Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
• The overdamped generalized Langevin equation with Hermite noise
• Strong 1.5 order scheme for fractional Langevin equation based on spectral approximation of white noise

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