Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation
Summary: A stochastic differential equation, SDE, describes the dynamics of a stochastic process defined on a space-time continuum. This paper reformulates the fractional stochastic integro-differential equation as a SDE. Existence and uniqueness of the solution to this equation is discussed. A numerical method for solving SDEs based on the Monte-Carlo Galerkin method is presented.
scientific article; zbMATH DE number 6173501