Numerical Approximation for a Stochastic Fractional Differential Equation Driven by Integrated Multiplicative Noise

From Crossref journal articles via Jisc Publications RouterHistory: epub 2024-01-23, issued 2024-01-23Article version: VoRPublication status: PublishedWe consider a numerical approximation for stochastic fractional differential equations driven by integrated multiplicative noise. The fractional derivative is in the Caputo sense with the fractional order α∈(0,1), and the non-linear terms satisfy the global Lipschitz conditions. We first approximate the noise with the piecewise constant function to obtain the regularized stochastic fractional differential equation. By applying Minkowski’s inequality for double integrals, we establish that the error between the exact solution and the solution of the regularized problem has an order of O(Δtα) in the mean square norm, where Δt denotes the step size. To validate our theoretical conclusions, numerical examples are presented, demonstrating the consistency of the numerical results with the established theory

Differential Models, Numerical Simulations and Applications

This Special Issue includes 12 high-quality articles containing original research findings in the fields of differential and integro-differential models, numerical methods and efficient algorithms for parameter estimation in inverse problems, with applications to biology, biomedicine, land degradation, traffic flows problems, and manufacturing systems

Generalized averaged Gaussian quadrature and applications

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