Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion

DOI10.1016/J.CAM.2020.113210zbMATH Open1466.60121OpenAlexW3091276424MaRDI QIDQ2222162FDOQ2222162

Authors: Yanyan Li 

Publication date: 3 February 2021

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.2020.113210

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zbMATH Keywords

fractional Brownian motionfractional calculusfractional stochastic differential equationquadratic interpolation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional ordinary differential equations (34A08) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (10)

• Numerical solutions for variable-order fractional Gross-Pitaevskii equation with two spectral collocation approaches
• Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
• Asymptotic behaviour of time fractional stochastic delay evolution equations with tempered fractional noise
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• Simulation paradoxes related to a fractional Brownian motion with small Hurst index
• Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Title not available (Why is that?)
• Resonance and stability of 3rd super-harmonic and 1/3rd sub-harmonic of fractional Duffing system

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