Analysis of a nonlinear variable-order fractional stochastic differential equation

DOI10.1016/J.AML.2020.106461MaRDI QIDQ2186757zbMATH OpenOpenAlexWikidataFDO

Authors Xiangcheng Zheng, Zhongqiang Zhang, Hong Wang

Publication date 9 June 2020

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2020.106461

zbMATH Keywords

regularitymultiplicative noisewellposednessvariable-order fractional stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional partial differential equations (35R11) White noise theory (60H40)

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Cites work

• scientific article; zbMATH DE number 1264681 (Why is no real title available?)
• scientific article; zbMATH DE number 2208228 (Why is no real title available?)
• A generalized spectral collocation method with tunable accuracy for variable-order fractional differential equations
• A review on variable-order fractional differential equations: mathematical foundations, physical models, numerical methods and applications
• An optimal-order numerical approximation to variable-order space-fractional diffusion equations on uniform or graded meshes
• Numerical methods for stochastic partial differential equations with white noise
• Numerical methods for the variable-order fractional advection-diffusion equation with a nonlinear source term
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• Stochastic models for fractional calculus
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Wellposedness and regularity of the variable-order time-fractional diffusion equations

Cited in

(18)

• Unique existence of solution to initial value problem for fractional differential equation involving with fractional derivative of variable order
• Time fractional stochastic differential equations driven by pure jump Lévy noise
• A fast Euler-Maruyama scheme and its strong convergence for multi-term Caputo tempered fractional stochastic differential equations
• Girsanov theorem for multifractional Brownian processes
• Analysis and numerical approximation for a nonlinear hidden-memory variable-order fractional stochastic differential equation
• Well-posedness of fractional differential equations with variable-order Caputo-Fabrizio derivative
• Well-posedness of solutions of multi-term fractional nonlinear stochastic differential equations with weakly singular kernel
• Well-posedness and regularity of Caputo-Hadamard fractional stochastic differential equations
• Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise
• A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations
• Variations of the solution to a fourth order time-fractional stochastic partial integro-differential equation
• The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations
• Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
• A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations
• A fast Euler-Maruyama method for fractional stochastic differential equations
• An Euler–Maruyama method and its fast implementation for multiterm fractional stochastic differential equations
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• An L1 type difference/Galerkin spectral scheme for variable-order time-fractional nonlinear diffusion-reaction equations with fixed delay

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