Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion

摘要

This paper proposes an accurate and computationally technique for solving fractional stochastic differential equations driven by fractional Brownian motion with Hurst index that belongs to (1/2, 1). The discretization scheme is based on the technique of quadratic interpolation. The error and convergence analysis of the suggested scheme are investigated. The application of proposed numerical technique in two fractional stochastic dynamical systems in the perspective of statistical indicators of stochastic responses is also analyzed. (C) 2020 Elsevier B.V. All rights reserved.