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An Euler-Maruyama Method for Variable Fractional Stochastic Differential Equations With Caputo Derivatives北大核心CSCD 下载免费PDF全文
A Euler-Maruyama (EM) method was constructed to solve a class of variable fractional stochastic differential equations with Caputo derivatives. Firstly, the well-posedness of the equation was proved. Then, the corresponding EM method was derived in detail, and the strong convergence of the method was analyzed. By means of the continuous form of the EM method, its strong convergence order was proved to be β - 0.5, where β is the order of the Caputo derivative and 0.5< β <1. Numerical experiments verify the correctness of the theoretical results. © 2023 Editorial Office of Applied Mathematics and Mechanics. All rights reserved. 相似文献
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