most citedExponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise

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math.PR2023★ 2 cited

Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise

Minoo Kamrani, Kristian Debrabant, Nahid Jamshidi

We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which…