Numerical approximation of stochastic delay differential equations driven by fractional Brownian motion

zbMATH Open1399.65016MaRDI QIDQ3176027FDOQ3176027

Authors: Xue-Yan Li, Wanrong Cao 

Publication date: 18 July 2018

Recommendations

• Euler scheme for fractional delay stochastic differential equations by rough paths techniques
• Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
• scientific article; zbMATH DE number 7523981
• Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
• Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions

zbMATH Keywords

fractional Brownian motionEuler schemestochastic delay differential equationconvergence order

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cited In (15)

• A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag
• Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Title not available (Why is that?)
• Optimal Convergence Rate of $\theta$--Maruyama Method for Stochastic Volterra Integro-Differential Equations with Riemann--Liouville Fractional Brownian Motion
• Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
• Title not available (Why is that?)
• An efficient computational scheme to solve a class of fractional stochastic systems with mixed delays
• Euler scheme for fractional delay stochastic differential equations by rough paths techniques
• Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
• Approximation of stochastic differential equations driven by step fractional Brownian motion
• Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
• Corrected implicit schemes for fractional stochastic differential equation
• Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions
• Title not available (Why is that?)

This page was built for publication: Numerical approximation of stochastic delay differential equations driven by fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3176027)