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Mittag-Leffler Euler integrator for a stochastic fractional order equation with additive noise
Department of Mathematics, University of Kurdistan, Iran.
2020 (English)In: SIAM Journal on Numerical Analysis, ISSN 0036-1429, E-ISSN 1095-7170, Vol. 58, no 1, p. 66-85Article in journal (Refereed) Published
Abstract [en]

Motivated by fractional derivative models in viscoelasticity, a class of semilinear stochastic Volterra integro-differential equations, and their deterministic counterparts, are considered. A generalized exponential Euler method, named here the Mittag--Leffler Euler integrator, is used for the temporal discretization, while the spatial discretization is performed by the spectral Galerkin method. The temporal rate of strong convergence is found to be (almost) twice compared to when the backward Euler method is used together with a convolution quadrature for time discretization. Numerical experiments that validate the theory are presented.  

Place, publisher, year, edition, pages
2020. Vol. 58, no 1, p. 66-85
Keywords [en]
Euler integrator, fractional equations, stochastic differential equations, strong convergence, integro-differential equations, Riesz kerne
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:hb:diva-29382DOI: 10.1137/18m1177895OAI: oai:DiVA.org:hb-29382DiVA, id: diva2:1733250
Funder
NordForsk, 74756Available from: 2023-02-01 Created: 2023-02-01 Last updated: 2023-03-30Bibliographically approved

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Saedpanah, Fardin

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