A fast Euler-Maruyama method for fractional stochastic differential equations
文献类型：期刊论文
| 作者 | Zhang, Jingna1,2; Tang, Yifa1,2; Huang, Jianfei3 |
| 刊名 | JOURNAL OF APPLIED MATHEMATICS AND COMPUTING
 |
| 出版日期 | 2022-05-11 |
| 页码 | 19 |
| 关键词 | Fractional stochastic differential equations Euler-Maruyama method Sum-of-exponentials approximation Strong convergence Computational efficiency |
| ISSN号 | 1598-5865 |
| DOI | 10.1007/s12190-022-01705-2 |
| 英文摘要 | In this paper, we first construct a fast Euler-Maruyama (EM) method based on the sumof-exponentials approximation for a class of nonlinear fractional stochastic differential equations whose coefficients satisfy a linear growth condition and the Lipschitz continuity. Then the strong convergence of this fast EM method is proved with the order alpha - 1/2, where alpha is an element of (1/2, 1) is the index of Caputo fractional derivative. Finally, numerical experiments are given to verify the theoretical results and demonstrate that the computational efficiency of the fast EM scheme has overwhelming advantages over the original EM method. |
| 资助项目 | Major Project on New Generation of Artificial Intelligence fromMOSTof China[2018AAA0101002] ; NationalNatural Science Foundation of China[12171466] ; NationalNatural Science Foundation of China[11701502] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000793681000001 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/61357]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Tang, Yifa |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, LSEC, ICMSEC, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Yangzhou Univ, Coll Math Sci, Yangzhou 225002, Jiangsu, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhang, Jingna,Tang, Yifa,Huang, Jianfei. A fast Euler-Maruyama method for fractional stochastic differential equations[J]. JOURNAL OF APPLIED MATHEMATICS AND COMPUTING,2022:19. |
| APA | Zhang, Jingna,Tang, Yifa,&Huang, Jianfei.(2022).A fast Euler-Maruyama method for fractional stochastic differential equations.JOURNAL OF APPLIED MATHEMATICS AND COMPUTING,19. |
| MLA | Zhang, Jingna,et al."A fast Euler-Maruyama method for fractional stochastic differential equations".JOURNAL OF APPLIED MATHEMATICS AND COMPUTING (2022):19. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。