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

Abdallah Ali Badr and Hanan Salem El-Hoety

Mathematical Problems in Engineering, 2012, vol. 2012, 1-14

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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:709106

DOI: 10.1155/2012/709106

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