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

被引：6

作者：

Badr, Abdallah Ali ^{[1
]}

El-Hoety, Hanan Salem ^{[2
]}

机构：

[1] Univ Alexandria, Fac Sci, Dept Math, Alexandria, Egypt

[2] Garyounis Univ, Fac Sci, Dept Math, Benghazi, Libya

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2012年 / 2012卷

关键词：

CALCULUS;

D O I：

10.1155/2012/709106

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

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.

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页数：14

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