A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations

DOI10.1080/00949655.2022.2100889OpenAlexW4287832599WikidataQ114101191 ScholiaQ114101191MaRDI QIDQ5887974FDOQ5887974

Authors:

Publication date: 21 April 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2022.2100889

zbMATH Keywords

convergenceweakly singular kernelsstochastic fractional integro-differential equationsmodified Euler-Maruyama method

Mathematics Subject Classification ID

Statistics (62-XX) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type
• Stochastic Equations in Infinite Dimensions
• On the existence of solutions of fractional integro-differential equations
• Brownian motion martingales and stochastic calculus
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Analytical approximations for a population growth model with fractional order
• Fractional integro-differential equations for electromagnetic waves in dielectric media
• Title not available (Why is that?)
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Numerical solution of a stochastic population growth model in a closed system
• Modeling Anomalous Diffusion
• Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
• Fractional equations and models. Theory and applications
• Fractional calculus in image processing: a review
• Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise
• Analysis of a nonlinear variable-order fractional stochastic differential equation
• Euler-Maruyama scheme for Caputo stochastic fractional differential equations
• The weak convergence of Euler method for nonlinear stochastic fractional differential equations
• Classical and generalized solutions of fractional stochastic differential equations
• Title not available (Why is that?)

Cited In (5)

• Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
• Title not available (Why is that?)
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations
• Euler-Maruyama method for a class of variable-order fractional nonlinear stochastic integro-differential equations

This page was built for publication: A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5887974)