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A fast Euler-Maruyama method for fractional stochastic differential equations

Jingna Zhang, Yifa Tang, Jianfei Huang

2022Journal of Applied Mathematics and Computing17 citationsDOI

Topics & Concepts

MathematicsLipschitz continuityTheory of computationBackward Euler methodConvergence (economics)Fractional calculusApplied mathematicsNonlinear systemExponential functionEuler's formulaOrder (exchange)Stochastic differential equationMathematical analysisEuler equationsAlgorithmEconomicsPhysicsEconomic growthFinanceQuantum mechanicsFractional Differential Equations SolutionsStochastic processes and financial applicationsDifferential Equations and Numerical Methods
A fast Euler-Maruyama method for fractional stochastic differential equations | Litcius