Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
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Publication:2222162
DOI10.1016/j.cam.2020.113210zbMath1466.60121OpenAlexW3091276424MaRDI QIDQ2222162
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113210
fractional Brownian motionfractional calculusquadratic interpolationfractional stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Fractional ordinary differential equations (34A08)
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