Mittag--Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise

DOI10.1137/18M1177895zbMath1429.65018arXiv1803.04151WikidataQ126402843 ScholiaQ126402843MaRDI QIDQ5210537

Mihály Kovács, Fardin Saedpanah, Stig Larsson

Publication date: 21 January 2020

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.04151

zbMATH Keywords

strong convergenceintegro-differential equationsstochastic differential equationsRiesz kernelfractional equationsEuler integrator

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Volterra integral equations (45D05) Fractional ordinary differential equations (34A08)

Related Items (5)

Regularity analysis for SVEEs with additive fBms and strong error estimates for the numerical approximations ⋮ On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion ⋮ Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise ⋮ An efficient numerical algorithm for the model describing the competition between super- and sub-diffusions driven by fractional Brownian sheet noise ⋮ Explicit Exponential Runge–Kutta Methods for Semilinear Integro-Differential Equations

Uses Software

• Mittag-Leffler
• mlf

Cites Work

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