Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
DOI10.1016/J.CAM.2024.115902zbMATH Open1540.60164MaRDI QIDQ6567319FDOQ6567319
Authors: Hao Zhou, Yaozhong Hu, Jingjun Zhao 
Publication date: 4 July 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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stochastic differential equationfractional Brownian motionstrong convergencebackward Euler methodsingular drift
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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