Strong convergence of a Euler-Maruyama scheme to a variable-order fractional stochastic differential equation driven by a multiplicative white noise

DOI10.1016/J.CHAOS.2020.110392zbMATH Open1496.65012OpenAlexW3095457045WikidataQ115359192 ScholiaQ115359192MaRDI QIDQ2128236FDOQ2128236

Authors: Zhiwei Yang, Xiangcheng Zheng, Zhongqiang Zhang, Hong Wang 

Publication date: 21 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110392

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zbMATH Keywords

existence and uniquenessstrong convergenceEuler-Maruyama methodnonlocal effectvariable-order fractional stochastic differential equation

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (21)

• Numerical approximation and error analysis for Caputo-Hadamard fractional stochastic differential equations
• A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
• Weak convergence and weak stability of Euler method for a class of stochastic fractional differential equation with multiplicative noise
• A fast Euler-Maruyama scheme and its strong convergence for multi-term Caputo tempered fractional stochastic differential equations
• Weak convergence and weak stability of a numerical method for the class of stochastic fractional differential equation with multiplicative noise
• Analysis and numerical approximation for a nonlinear hidden-memory variable-order fractional stochastic differential equation
• Well-posedness and regularity of Caputo-Hadamard fractional stochastic differential equations
• Analysis of a nonlinear variable-order fractional stochastic differential equation
• A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations
• The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations
• Exponential stability and synchronisation of fuzzy Mittag-Leffler discrete-time Cohen-Grossberg neural networks with time delays
• On stochastic fractional differential variational inequalities general system with Lévy jumps
• Efficient scheme for a category of variable-order optimal control problems based on the sixth-kind Chebyshev polynomials
• A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations
• A fast Euler-Maruyama method for fractional stochastic differential equations
• An Euler–Maruyama method and its fast implementation for multiterm fractional stochastic differential equations
• On a discrete fractional stochastic Grönwall inequality and its application in the numerical analysis of stochastic FDEs involving a martingale
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• Euler-Maruyama method for a class of variable-order fractional nonlinear stochastic integro-differential equations

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