Mittag-Leffler Euler Integrator for a Stochastic Fractional Order Equation with Additive Noise
Journal article, 2020
Riesz kernel
Euler integrator
strong convergence
stochastic differential equations
integro-differential equations
fractional equations
Author
Mihaly Kovacs
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Stig Larsson
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Fardin Saedpanah
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
SIAM Journal on Numerical Analysis
0036-1429 (ISSN) 1095-7170 (eISSN)
Vol. 58 1 66-85Nonlocal deterministic and stochastic differential equations: analysis and numerics
Swedish Research Council (VR), 2019-01-01 -- 2021-12-31.
Subject Categories
Computational Mathematics
Probability Theory and Statistics
Roots
Basic sciences
DOI
10.1137/18M1177895