A fast Euler-Maruyama method for fractional stochastic differential equations

doi:10.1007/s12190-022-01705-2

CSpace

	A fast Euler-Maruyama method for fractional stochastic differential equations
	Zhang, Jingna 1,2; Tang, Yifa 1,2; Huang, Jianfei 3
	2022-05-11
发表期刊	JOURNAL OF APPLIED MATHEMATICS AND COMPUTING
ISSN	1598-5865
页码	19
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.
关键词	Fractional stochastic differential equations Euler-Maruyama method Sum-of-exponentials approximation Strong convergence Computational efficiency
DOI	10.1007/s12190-022-01705-2
收录类别	SCI
语种	英语
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
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000793681000001
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/61358
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.