Euler-Maruyama scheme for Caputo stochastic fractional differential equations

DOI10.1016/j.cam.2020.112989zbMath1455.60090OpenAlexW3026544389WikidataQ115359748 ScholiaQ115359748MaRDI QIDQ2186937

A. M. Vu, Peter E. Kloeden, Thai Son Doan, P. T. Huong

Publication date: 10 June 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112989

zbMATH Keywords

numerical methodfractional calculusEuler-Maruyama schemestochastic differential and integral equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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Cites Work

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• Asymptotic behavior of stochastic lattice systems with a Caputo fractional time derivative
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• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
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• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
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• Completely monotone generalized Mittag-Leffler functions
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• On the asymptotic behavior of solutions to time-fractional elliptic equations driven by a multiplicative white noise
• Asymptotic separation between solutions of Caputo fractional stochastic differential equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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