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

Zhiwei Yang, Xiangcheng Zheng, Zhongqiang Zhang and Hong Wang

Chaos, Solitons & Fractals, 2021, vol. 142, issue C

Abstract: We prove the existence and uniqueness of the solution to a variable-order fractional stochastic differential equation driven by a multiplicative white noise, which describes the random phenomena with nonlocal effect. We further develop a Euler-Maruyama scheme and prove the strong convergence of the scheme. Numerical experiments are presented to substantiate the mathematical analysis.

Keywords: Variable-order fractional stochastic differential equation; Nonlocal effect; Existence and uniqueness; Euler-Maruyama method; Strong convergence (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:142:y:2021:i:c:s0960077920307864

DOI: 10.1016/j.chaos.2020.110392

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