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

摘要

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