A fast Euler-Maruyama scheme and its strong convergence for multi-term Caputo tempered fractional stochastic differential equations

DOI10.1016/J.CNSNS.2024.108253MaRDI QIDQ6591012zbMATH OpenFDO

Authors Jingna Zhang, Yifa Tang

Publication date 21 August 2024

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CNSNS.2024.108253

zbMATH Keywords

Caputo tempered fractional derivativesfast Euler-Maruyama schemestochastic differential equationsstrong convergence

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(4)

• An Euler–Maruyama method and its fast implementation for multiterm fractional stochastic differential equations
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• Euler-Maruyama scheme for multi-term Caputo fractional stochastic differential equations
• Modified Euler-Maruyama methods for Caputo tempered variable-order fractional stochastic differential equations

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