Simulating variable-order fractional Brownian motion and solving nonlinear stochastic differential equations
type: Item
instance of: scholarly article
title: Simulating variable-order fractional Brownian motion and solving nonlinear stochastic differential equations
author: Nasrin Samadyar
author: Y. Ordokhani
published in: Mathematical Methods in the Applied Sciences
publication date: 2024-06-27T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 34A08
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 7871985
zbMATH Keywords: error analysis
zbMATH Keywords: operational matrix method
zbMATH Keywords: piecewise function
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: variable-order fractional Brownian motion
MaRDI profile type: Publication
cites work: Synthesis of multifractional Gaussian noises based on variable-order fractional operators
cites work: Q5313290
cites work: Interpolation solution in generalized stochastic exponential population growth model
cites work: A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions
cites work: A wavelet-based computational method for solving stochastic Itô-Volterra integral equations
cites work: Hybrid Taylor and block-pulse functions operational matrix algorithm and its application to obtain the approximate solution of stochastic evolution equation driven by fractional Brownian motion
cites work: Numerical approach for solving stochastic Volterra-Fredholm integral equations by stochastic operational matrix
cites work: Numerical solution of stochastic integral equations by using Bernoulli operational matrix
cites work: Generalized regularized least-squares approximation of noisy data with application to stochastic PDEs
cites work: The modified dual reciprocity boundary elements method and its application for solving stochastic partial differential equations
cites work: Implicit meshless method to solve <scp>2D</scp> fractional stochastic Tricomi‐type equation defined on irregular domain occurring in fractal transonic flow
cites work: Meshless simulation of stochastic advection-diffusion equations based on radial basis functions
cites work: The couple of Hermite-based approach and Crank-Nicolson scheme to approximate the solution of two dimensional stochastic diffusion-wave equation of fractional order
cites work: Numerical solution of two-dimensional stochastic Fredholm integral equations on hypercube domains via meshfree approach
cites work: Numerical solution of stochastic differential equations by second order Runge-Kutta methods
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
cites work: The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
cites work: Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
cites work: Numerical method for solving linear stochasticIto--Volterra integral equations driven by fractional Brownian motion using hat functions
cites work: Numerical solution of nonlinear stochastic Itô‐Volterra integral equations driven by fractional Brownian motion
cites work: Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
cites work: The construction of operational matrix of fractional derivatives using B-spline functions
cites work: Application of Taylor series in obtaining the orthogonal operational matrix
cites work: A new operational matrix for solving fractional-order differential equations
cites work: Application of operational matrices for solving system of linear Stratonovich Volterra integral equation
cites work: Kronecker operational matrices for fractional calculus and some applications
cites work: Numerical solution based on hybrid of block-pulse and parabolic functions for solving a system of nonlinear stochastic Itô-Volterra integral equations of fractional order
cites work: Convergence Analysis of Parabolic Basis Functions for Solving Systems of Linear and Nonlinear Fredholm Integral Equations
cites work: Optimal control of linear delay systems via hybrid of block-pulse and Legendre polynomials
cites work: A numerical method for solving systems of linear and nonlinear integral equations of the second kind by hat basis functions
cites work: Numerical solution of Volterra integral-algebraic equations using block pulse functions
cites work: Numerical solution for the variable order linear cable equation with Bernstein polynomials
cites work: Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
DOI: 10.1002/MMA.10026
description: scientific article; zbMATH DE number 7871985