Monte Carlo method for fractional-order differentiation

DOI10.1007/s13540-022-00017-3zbMath1503.65047OpenAlexW4224227508WikidataQ114017050 ScholiaQ114017050MaRDI QIDQ2110869

Nikolai N. Leonenko, Igor Podlubny

Publication date: 23 December 2022

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13540-022-00017-3

zbMATH Keywords

stochastic processesMonte Carlo methodfractional calculusnumerical computationsfractional differentiation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Fractional derivatives and integrals (26A33) Numerical differentiation (65D25)

Related Items (1)

Monte Carlo method for fractional-order differentiation extended to higher orders

Uses Software

• Mittag-Leffler
• mlf

Cites Work

• Unnamed Item
• Efficient computation of the Grünwald-Letnikov fractional diffusion derivative using adaptive time step memory
• Unbounded functional calculus for bounded groups with applications
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• An efficient algorithm for the evaluation of convolution integrals
• Finite difference methods for two-dimensional fractional dispersion equation
• Higher order Grünwald approximations of fractional derivatives and fractional powers of operators
• Stochastic models for fractional calculus
• The numerical solution of fractional differential equations: speed versus accuracy

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