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ข้อมูลเชิงลึก - Explosion time in fractional stochastic differential equations
분수 브라운 운동으로 구동되는 확률 미분 방정식의 폭발 시간에 대한 연구
분수 브라운 운동으로 구동되는 자율 확률 미분 방정식의 폭발 시간을 연구하고 이를 근사하는 적응형 오일러 방식을 제안한다.
Criteria for Explosion Time in Stochastic Differential Equations Driven by Fractional Brownian Motion
The article studies the explosion time of the solution to autonomous stochastic differential equations driven by fractional Brownian motion with Hurst parameter H > 1/2. It provides criteria for the explosion in the case of a more general diffusion coefficient than constant or small, and introduces an adaptive Euler-type numerical scheme for approximating the explosion time.
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