A fast Euler-Maruyama method for fractional stochastic differential equations
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Publication:2700093
DOI10.1007/s12190-022-01705-2OpenAlexW4280605356WikidataQ115377099 ScholiaQ115377099MaRDI QIDQ2700093
Jingna Zhang, Jianfei Huang, Yi-Fa Tang
Publication date: 20 April 2023
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-022-01705-2
strong convergencecomputational efficiencyfractional stochastic differential equationsEuler-Maruyama methodsum-of-exponentials approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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