A distributed-order fractional stochastic differential equation driven by Levy noise: Existence, uniqueness, and a fast EM scheme

被引：4

作者：

Dong, Jincheng ^{[1
]}

Du, Ning ^{[1
]}

Yang, Zhiwei ^{[2
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[2] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China

来源：

CHAOS | 2023年 / 33卷 / 02期

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

VARIABLE-ORDER; DIFFUSION; MODELS;

D O I：

10.1063/5.0135471

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a distributed-order fractional stochastic differential equation driven by Levy noise. We, first, prove the existence and uniqueness of the solution. A Euler-Maruyama (EM) scheme is constructed for the equation, and its strong convergence order is shown to be min { 1 - alpha * , 0.5 }, where alpha * depends upon the weight function. Besides, we present a fast EM method and also the error analysis of the fast scheme. In addition, several numerical experiments are carried out to substantiate the mathematical analysis.

引用

页数：18

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