Numerics for the fractional Langevin equation driven by the fractional Brownian motion
Numerics for the fractional Langevin equation driven by the fractional Brownian motion
We study analytically and numerically the fractional Langevin equation driven by the fractional Brownian motion. The fractional derivative is in Caputo's sense and the fractional order in this paper is α = 2 − 2H, where H ∈ ( $\tfrac{1} {2} $ , 1) is the Hurst parameter (or, index). …