Monte-Carlo Galerkin Approximation of Fractional Stochastic Integro-Differential Equation-Reference-Cited by-同舟云学术

Monte-Carlo Galerkin Approximation of Fractional Stochastic Integro-Differential Equation

Published:2012 Issue: Volume:2012 Page:1-14
ISSN:1024-123X
Container-title:Mathematical Problems in Engineering
language:en
Short-container-title:Mathematical Problems in Engineering

Author:

Badr Abdallah Ali¹,El-Hoety Hanan Salem²

Affiliation:

1. Department of Mathematics, Faculty of Science, Alexandria University, Alexandria, Egypt

2. Department of Mathematics, Faculty of Science, Garyounis University, Benghazi, Libya

Abstract

A stochastic differential equation, SDE, describes the dynamics of a stochastic process defined on a space-time continuum. This paper reformulates the fractional stochastic integro-differential equation as a SDE. Existence and uniqueness of the solution to this equation is discussed. A numerical method for solving SDEs based on the Monte-Carlo Galerkin method is presented.

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Link

http://downloads.hindawi.com/journals/mpe/2012/709106.pdf

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