Analysis and Numerical Approximation for a Nonlinear Hidden-Memory Variable-Order Fractional Stochastic Differential Equation
Year: 2022
East Asian Journal on Applied Mathematics, Vol. 12 (2022), Iss. 3 : pp. 673–695
Abstract
We prove the well-posedness of a nonlinear hidden-memory variable-order fractional stochastic differential equation driven by a multiplicative white noise, in which the hidden-memory type variable order describes the memory of a fractional order. We then present a Euler-Maruyama scheme for the proposed model and prove its strong convergence rate. Numerical experiments are performed to substantiate the theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.311021.220222
East Asian Journal on Applied Mathematics, Vol. 12 (2022), Iss. 3 : pp. 673–695
Published online: 2022-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 23
Keywords: Variable-order fractional stochastic differential equation hidden memory Euler-Maruyama method strong convergence.