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- Kovács, Mihály (author)
Mittag-Leffler Euler integrator for a stochastic fractional order equation with additive noise
- Article/chapterEnglish2020
Publisher, publication year, extent ...
- 2020-01-07
- Society for Industrial & Applied Mathematics (SIAM),2020
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:hb-29382
- https://urn.kb.se/resolve?urn=urn:nbn:se:hb:diva-29382URI
- https://doi.org/10.1137/18m1177895DOI
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- Language:English
- Summary in:English
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Notes
- 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.
Subject headings and genre
- NATURVETENSKAP Matematik Beräkningsmatematik hsv//swe
- NATURAL SCIENCES Mathematics Computational Mathematics hsv//eng
- Euler integrator
- fractional equations
- stochastic differential equations
- strong convergence
- integro-differential equations
- Riesz kerne
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- Larsson, Stig (author)
- Saedpanah, FardinDepartment of Mathematics, University of Kurdistan, Iran(Swepub:hb)frsa (author)
- Department of Mathematics, University of Kurdistan, Iran (creator_code:org_t)
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- In:SIAM Journal on Numerical Analysis: Society for Industrial & Applied Mathematics (SIAM)58:1, s. 66-850036-14291095-7170
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