Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise
DOI10.1007/s11075-023-01576-zOpenAlexW4382561545MaRDI QIDQ6145579
Publication date: 9 January 2024
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-023-01576-z
finite difference methodstochastic differential equationsCaputo fractional derivativeWong-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) Rate of convergence, degree of approximation (41A25) Error bounds for numerical methods for ordinary differential equations (65L70)
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