Numerical approximation and error analysis for Caputo-Hadamard fractional stochastic differential equations
A stochastic differential equation with fractional time derivative modeling ultraslow diffusion of particles is studied. Approximations via a modification of the Euler scheme are shown to converge to solutions of the original equation. Estimates for the second moments are derived.
stochastic fractional differential equations
scientific article; zbMATH DE number 7628881
scientific article