A fast Euler-Maruyama method for fractional stochastic differential equations (Q2700093)

scientific article

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English	A fast Euler-Maruyama method for fractional stochastic differential equations	scientific article

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instance of

scholarly article

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title

A fast Euler-Maruyama method for fractional stochastic differential equations (English)

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Journal of Applied Mathematics and Computing

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publication date

20 April 2023

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zbMATH Keywords

fractional stochastic differential equations

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Euler-Maruyama method

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sum-of-exponentials approximation

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strong convergence

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computational efficiency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s12190-022-01705-2

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cites work

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Financial Modelling with Jump Processes

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Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method

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The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type

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Asymptotic separation between solutions of Caputo fractional stochastic differential equations

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Euler-Maruyama scheme for Caputo stochastic fractional differential equations

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A Fast Temporal Second-Order Compact ADI Scheme for Time Fractional Mixed Diffusion-Wave Equations

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Fast Evaluation of Linear Combinations of Caputo Fractional Derivatives and Its Applications to Multi-Term Time-Fractional Sub-Diffusion Equations

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Efficient methods for nonlinear time fractional diffusion-wave equations and their fast implementations

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Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations

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Numerical solution of stochastic fractional differential equations

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A fast direct method for block triangular Toeplitz-like with tri-diagonal block systems from time-fractional partial differential equations

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Numerical solution of a stochastic population growth model in a closed system

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Q4004325

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A fast algorithm for simulation of rough volatility models

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Fast Summation by Interval Clustering for an Evolution Equation with Memory

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Stochastic fractional differential equations: modeling, method and analysis

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Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Fast evaluation and high accuracy finite element approximation for the time fractional subdiffusion equation

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Fast Finite Difference Schemes for Time-Fractional Diffusion Equations with a Weak Singularity at Initial Time

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A fast temporal second-order compact ADI difference scheme for the 2D multi-term fractional wave equation

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Fractional stochastic differential equations with applications to finance

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Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise

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Euler schemes and large deviations for stochastic Volterra equations with singular kernels

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Analysis of a nonlinear variable-order fractional stochastic differential equation

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A Fast High Order Method for the Time-Fractional Diffusion Equation

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Identifiers

DOI

10.1007/s12190-022-01705-2

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2700093