Numerical solution of stochastic fractional differential equations

DOI10.1007/s11075-014-9839-7zbMath1386.65038OpenAlexW1997851700MaRDI QIDQ2514272

Minoo Kamrani

Publication date: 3 February 2015

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-014-9839-7

zbMATH Keywords

convergenceGalerkin approximationstochastic fractional differential equations

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Research on application of fractional calculus in signal real-time analysis and processing in stock financial market ⋮ An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays ⋮ Uncertain fractional forward difference equations for Riemann-Liouville type ⋮ A spectral method for stochastic fractional differential equations ⋮ Unnamed Item ⋮ Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation ⋮ ADM-TF hybrid method for nonlinear Itô-Volterra integral equations ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Existence and stability results for Caputo fractional stochastic differential equations with Lévy noise ⋮ Conforming finite element method for the time‐fractional nonlinear stochastic fourth‐order reaction diffusion equation ⋮ A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations ⋮ An efficient solution for stochastic fractional partial differential equations with additive noise by a meshless method ⋮ Qualitative analysis of fractional stochastic differential equations with variable order fractional derivative ⋮ An efficient approach based on radial basis functions for solving stochastic fractional differential equations ⋮ A fast Euler-Maruyama method for fractional stochastic differential equations ⋮ Error estimates of finite element methods for nonlinear fractional stochastic differential equations ⋮ Stochastic fractional differential equations driven by Lévy noise under Carathéodory conditions ⋮ Solution of stochastic nonlinear time fractional PDEs using polynomial chaos expansion combined with an exponential integrator ⋮ Unnamed Item ⋮ Application of hat basis functions for solving two-dimensional stochastic fractional integral equations ⋮ A shifted Jacobi-Gauss collocation scheme for solving fractional neutral functional-differential equations ⋮ Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion ⋮ Unnamed Item ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations ⋮ A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations ⋮ Carathéodory approximations and stability of solutions to non-Lipschitz stochastic fractional differential equations of Itô-Doob type ⋮ Large Deviations for Stochastic Fractional Differential Equations ⋮ Controllability of Nonlinear Stochastic Fractional Integrodifferential Systems in Hilbert Spaces ⋮ Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation ⋮ Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation ⋮ Large deviations for stochastic fractional integrodifferential equations ⋮ Numerical solution of stochastic fractional integro-differential equation by the spectral collocation method

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A computational matrix method for solving systems of high order fractional differential equations
• On the convergence of spline collocation methods for solving fractional differential equations
• Efficient simulation of nonlinear parabolic SPDEs with additive noise
• A new Jacobi operational matrix: an application for solving fractional differential equations
• Homotopy analysis method for fractional IVPs
• Variational iteration method -- a kind of non-linear analytical technique: Some examples
• The approximate and exact solutions of the space- and time-fractional Burgers equations with initial conditions by variational iteration method
• A reliable algorithm of homotopy analysis method for solving nonlinear fractional differential equations
• Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients
• Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
• Detailed error analysis for a fractional Adams method
• A predictor-corrector approach for the numerical solution of fractional differential equations
• Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation
• Full discretization of the stochastic Burgers equation with correlated noise
• Stability and Optimal Control of Stochastic Functional-Differential Equations With Memory
• Time-Domain Finite Element Analysis of Viscoelastic Structures with Fractional Derivatives Constitutive Relations
• Finite element and difference approximation of some linear stochastic partial differential equations
• On a system of differential equations with fractional derivatives arising in rod theory
• Galerkin Approximations for the Stochastic Burgers Equation
• Analysis of fractional differential equations
• Stochastic differential equations. An introduction with applications.