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Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
Journal of Computational and Applied Mathematics ( IF 2.1 ) Pub Date : 2020-10-03 , DOI: 10.1016/j.cam.2020.113210
A. Shahnazi-Pour , B. Parsa Moghaddam , A. Babaei

This paper proposes an accurate and computationally technique for solving fractional stochastic differential equations driven by fractional Brownian motion with Hurst index that belongs to (12,1). The discretization scheme is based on the technique of quadratic interpolation. The error and convergence analysis of the suggested scheme are investigated. The application of proposed numerical technique in two fractional stochastic dynamical systems in the perspective of statistical indicators of stochastic responses is also analyzed.



中文翻译:

分数布朗运动驱动的分数阶随机动力系统解的Hurst指数的数值模拟

本文提出了一种精确的计算技术,用于求解由Hurst指数的分数布朗运动驱动的分数随机微分方程。 1个21个。离散化方案基于二次插值技术。研究了该方案的误差和收敛性分析。从随机响应统计指标的角度分析了所提出的数值技术在两个分数随机动力系统中的应用。

更新日期:2020-10-17
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