Numerics for the fractional Langevin equation driven by the fractional Brownian motion

Abstract

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 ε (1/2, 1) is the Hurst parameter (or, index). We give numerical schemes for the fractional Langevin equation with or without an external force. From the figures we can find that the mean square displacement of the fractional Langevin equation has the property of the anomalous diffusion. When the fractional order tends to an integer, the diffusion reduces to the normal diffusion. © 2013 Versita Warsaw and Springer-Verlag Wien.