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.2020.110392MaRDI QIDQ2128236zbMATH OpenOpenAlexWikidataFDO

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

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

(23)

• A fast Euler-Maruyama scheme and its strong convergence for multi-term Caputo tempered fractional stochastic differential equations
• Euler–Maruyama methods for Caputo tempered fractional stochastic differential equations
• An Euler–Maruyama method and its fast implementation for multiterm fractional stochastic differential equations
• Efficient scheme for a category of variable-order optimal control problems based on the sixth-kind Chebyshev polynomials
• Weak convergence and weak stability of Euler method for a class of stochastic fractional differential equation with multiplicative noise
• Well-posedness and regularity of Caputo-Hadamard fractional stochastic differential equations
• A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations
• Analysis and numerical approximation for a nonlinear hidden-memory variable-order fractional stochastic differential equation
• On stochastic fractional differential variational inequalities general system with Lévy jumps
• Strong \(1.5\) order scheme for fractional Langevin equation based on spectral approximation of white noise
• A fast Euler-Maruyama method for fractional stochastic differential equations
• A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
• Analysis of a nonlinear variable-order fractional stochastic differential equation
• Exponential stability and synchronisation of fuzzy Mittag-Leffler discrete-time Cohen-Grossberg neural networks with time delays
• Discrete fractional stochastic Grönwall inequalities arising in the numerical analysis of multi-term fractional order stochastic differential equations
• A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations
• On a discrete fractional stochastic Grönwall inequality and its application in the numerical analysis of stochastic FDEs involving a martingale
• An explicit Euler scheme for generalized \(n\)-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
• Numerical approximation and error analysis for Caputo-Hadamard fractional stochastic differential equations
• Weak convergence and weak stability of a numerical method for the class of stochastic fractional differential equation with multiplicative noise
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations
• Euler-Maruyama method for a class of variable-order fractional nonlinear stochastic integro-differential equations

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