Numerics for the fractional Langevin equation driven by the fractional Brownian motion
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Publication:2347296
DOI10.2478/S13540-013-0009-8zbMATH Open1312.34093OpenAlexW2039438355MaRDI QIDQ2347296FDOQ2347296
Authors: Peng Guo, Caibin Zeng, Changpin Li, Yangquan Chen 
Publication date: 27 May 2015
Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/s13540-013-0009-8
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Caputo derivativenumerical algorithmmean square displacementfluctuation dissipationfractional Langevin equation
Fractional processes, including fractional Brownian motion (60G22) Fractional ordinary differential equations (34A08) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference and finite volume methods for ordinary differential equations (65L12)
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Cited In (36)
- T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
- New existence and stability results for fractional Langevin equation with three-point boundary conditions
- Fractional Langevin equation
- Probability density of fractional Brownian motion and the fractional Langevin equation with absorbing walls
- Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise
- Asymptotic Stability of Fractional Langevin Systems
- A note on Euler method for the overdamped generalized Langevin equation with fractional noise
- Regularisation of the Langevin equation in \(d=1\) by the fractional Brownian motion
- \(\varPsi\)-Bielecki-type norm inequalities for a generalized Sturm-Liouville-Langevin differential equation involving \(\varPsi\)-Caputo fractional derivative
- Fractional Langevin type equations for white noise distributions
- Existence and uniqueness of solutions to fractional Langevin equations involving two fractional orders
- Ulam stability for nonlinear-Langevin fractional differential equations involving two fractional orders in the ψ-Caputo sense
- Error analysis of nonlinear time fractional mobile/immobile advection-diffusion equation with weakly singular solutions
- Dynamics of a fractional derivative type of a viscoelastic rod with random excitation
- Diffusion and Fokker-Planck-Smoluchowski equations with generalized memory kernel
- Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise
- NMR signals within the generalized Langevin model for fractional Brownian motion
- Localization and ballistic diffusion for the tempered fractional Brownian-Langevin motion
- The overdamped generalized Langevin equation with Hermite noise
- Existence of solutions of BVPs for fractional Langevin equations involving Caputo fractional derivatives
- Cosine radial basis function neural networks for solving fractional differential equations
- Monte Carlo method for parabolic equations involving fractional Laplacian
- Nonnegative solutions of initial value problems for Langevin equations involving two fractional orders
- Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
- Non-local fractional growing surfaces: planar and radial geometries
- On fractional Langevin equation involving two fractional orders in different intervals
- A mutually exciting rough jump-diffusion for financial modelling
- Well-posedness and regularity results for a class of fractional Langevin diffusion equations
- Controllability of nonlinear fractional Langevin delay systems
- Trajectory controllability of nonlinear fractional Langevin systems
- An efficient numerical algorithm for the model describing the competition between super- and sub-diffusions driven by fractional Brownian sheet noise
- A computational study of an implicit local discontinuous Galerkin method for time-fractional diffusion equations
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- Local stable manifold of Langevin differential equations with two fractional derivatives
- Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation
- Single upper-solution or lower-solution method for Langevin equations with two fractional orders
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