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.
You do not have full access to this article.
Already a Subscriber? Sign in as an individual or via your institution
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.
-
Strong Convergence of Euler-Type Methods for Nonlinear Fractional Stochastic Differential Equations without Singular Kernel
Ali, Zakaria
Abebe, Minyahil Abera
Nazir, Talat
Mathematics, Vol. 12 (2024), Iss. 18 P.2890
https://doi.org/10.3390/math12182890 [Citations: 0]