Strong 1.5 order scheme for fractional Langevin equation based on spectral approximation of white noise
Caputo fractional derivativefinite difference methodstochastic differential equationsWong-Zakai approximationLaplace and inverse Laplace transform
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Laplace transform (44A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Rate of convergence, degree of approximation (41A25)
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