Numerical Implementation of Stochastic Operational Matrix Driven by a Fractional Brownian Motion for Solving a Stochastic Differential Equation
An efficient method to determine a numerical solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (FBM) with Hurst parameter H∈(1/2,1) and n independent one-dimensional standard Brownian motion (SBM) is proposed. The method is stated via a stochastic operational...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/523163 |