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Afshin Babaei

Afshin Babaei

Academic rank: Associate Professor
ORCID: https://orcid.org/0000-0002-6980-9786
Education: PhD.
ScopusId: https://www.scopus.com/authid/detail.uri?authorId=57188696707
Faculty: Faculty of Mathematical Sciences
Address: Department of Mathematics, Faculty of Mathematical sciences, University of Mazandaran, Babolsar, Iran
Phone: 011-35302418

Research

Title
Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
Type
JournalPaper
Keywords
Fractional calculus, Fractional Brownian motion, Fractional stochastic differential equation, Quadratic interpolation
Year
2021
Journal JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
DOI
Researchers Alireza Shahnazi-Pour ، Behrouz Parsa Moghaddam ، Afshin Babaei

Abstract

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.