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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